資産価格決定：構造理論とその応用 Asset Pricing: A Structural Theory and Its Applications

Cheng, Bing/ Tong, Howell A M

World Scientific Publishing Co Pte Ltd（2008/07発売）

• 製本 Hardcover:ハードカバー版／ページ数 92 p.
• 言語 ENG
• 商品コード 9789812704559
• DDC分類 332.6

基本説明

Introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle.

Full Description

Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.

Contents

Introduction to Modern Asset Pricing; 2 x 2 Risk Sharing; N x N Risk Sharing; A Structural Theory of Asset Pricing and the Equity Premium Puzzle; Empirical Analysis of Pricing Errors and the Equity Premium Puzzle; Compound Asset Pricing Models into a Complex Pricing Model; Investment and Consumption in a Multi-Period Framework.