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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.
Sample Chapter(s)
Chapter 1: Introduction to Modern Asset Pricing (173 KB)
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
Readership: Graduate students; researchers and professionals in universities and the financial industry.
