In finance, the capital asset pricing model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset. This book presents current research in the study of financial asset pricing, including monetary policy and boom-bust cycles in asset pricing; migration dynamics of stock movements between portfolios; return calculation in international mutual funds; risk premium, market price of risk, and stochastic price models for commodities; computation finance for stochastic volatility and correlation; and consumption-based asset pricing model (CCAPM) in Latin America.
Preface; Monetary Policy & Boom-Bust Cycles in Asset Prices: A Literature Survey; Dynamic Migration between Stock Portfolios Based on Dividend Yield & Firm Size; Return Calculation for Short Time Series: Evidence form Emerging Market Mutual Funds; Risk Premium, Market Price of Risk, & Stochastic Price Models for Commodities; Australian House Prices Affordability: An International Comparison of the Determinants of House Prices Performance 1980-2009; Computational Finance for Stochastic Volatility & Correlation; An Empirical Test of the Consumption-Based Asset Pricing Model (CCAPM) in Latin America; Intricate Asset Price Dynamics & One-Dimensional Discontinuous Maps; Index.