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100   $a20081211d2008      uy             0
101 0 $aeng
135   $aurcn|||||||||
181   $ctxt
182   $cc
183   $acr
200 10$aAsset pricing$b[electronic resource] $ea structural theory and its applications /$fBing Cheng, Howell Tong
210   $aHackensack, NJ $cWorld Scientific$dc2008
215   $a1 online resource (92 p.)
300   $aDescription based upon print version of record.
311   $a981-270-455-8 
320   $aIncludes bibliographical references (p. 71-74) and index.
327   $a1. 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.
330   $aModern 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
606   $aCapital assets pricing model
606   $aStocks$xPrices$xMathematical models
615  0$aCapital assets pricing model.
615  0$aStocks$xPrices$xMathematical models.
676   $a332.632042
700   $aCheng$b Bing$0406939
701   $aTong$b Howell$066323
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910822090703321
996   $aAsset pricing$94002517
997   $aUNINA