Asset pricing; a structural theory and its applications.

9789812704559

Asset pricing; a structural theory and its applications.

Cheng, Bing and Howell Tong.

World Scientific

2008

76 pages

$48.00

Hardcover

HG4636

Asset pricing theory plays a central role in finance theory and applications. In this text, Cheng (Chinese Academy of Science, China) and Tong (London School of Economics, UK) develop a new structural theory to evaluate asset pricing models which puts the stochastic discount factor (SDF) pricing model of recent years firmly on a mathematical foundation. Coverage includes an introduction to modern asset pricing, the authors' new structural theory and its application to the equity premium puzzle, use of the structural theory to deal with an enlarged portfolio space that includes non-tradable assets, discussion of asset pricing problems including both bottom-up and the top-down investment methodologies, and the relationship of the portfolio insurance with option and consumption-based asset pricing models.

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