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...

In this paper we first argue that for a large group of investors, their portfolio and consumption choice problem must be attached a consumption habit constraint. For this new choice problem, by using the Cox amp; Huang martingale approach, we obtain optimal consumption behavior for general...

Key Features:Explains how structural theory of asset pricing links asset space and pricing spaceProvides a refreshingly novel and systematic explanation of the equity premium puzzleOffers methods of decomposition and synthesization of asset models.