Asset pricing a structural theory and its applications /
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-prese...
| Основен автор: | Cheng, Bing. |
|---|---|
| Други автори: | Tong, Howell. |
| Формат: | Електронен |
| Език: | English |
| Публикувано: |
Singapore ; Hackensack, N.J. :
World Scientific Pub. Co.,
℗♭2008.
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| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=518594 |
Съдържание:
- 1. Introduction to modern asset pricing. 1.1. A brief history of modern asset pricing models. 1.2. The equity premium puzzle
- 2. A structural theory of asset pricing. 2.1. Construction of continuous linear pricing functionals. 2.2. The structural theory of asset pricing
- pt. I. 2.3. Is the equity premium puzzle really a puzzle or not a puzzle? 2.4. Conclusions and summary
- 3. Algebra of stochastic discount factors. 3.1. Symmetric theorem of asset pricing. 3.2. Compounding asset pricing models. 3.3. Compression of asset pricing models. 3.4. Decomposition of errors in asset pricing models. 3.5. Empirical analysis of the asset pricing models. 3.6. Conclusions
- 4. Investment and consumption in a multi-period framework. 4.1. Review of Merton's asset pricing model. 4.2. Optimal decisions of investment and consumption. 4.3. Optimal investment behavior. 4.4. Conclusions.