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Asset Pricing: A Structural Theory and Its Applications
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ISBN
:
9789812704559
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Publisher
:
World Scientific Publishing Company
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Subject
:
Mathematics, Finance & Accounting, Economics
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Binding
:
HARDCOVER
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Pages
:
92
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Year
:
2008
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9980.0
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8582.0
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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; A Structural Theory of Asset Pricing; Algebra of Stochastic Discount Factors; Investment and Consumption in a Multi-Period Framework.
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