Asset Pricing: A Structural Theory And Its Applications
Cheng Bing,Tong Howell A M
ISBN: 9789812704559
Vydavateľstvo: World Scientific
Rok vydania: 2008
Väzba: Hardback
Počet strán: 92
Dostupnosť: Na sklade
Pôvodná cena: 90,43 €
Výstavná cena:
81,39 €(t.j. po zľave 10%)
(Cena je uvedená vrátane 10% DPH)
Katalógová cena: 65 GBP
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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.