Asset Pricing Models
By External Provider
About this course
The course covers several advanced topics in asset pricing, trading-off risks and return, and portfolio optimization. More precisely, students will first analyze two relevant extensions of the Capital Asset Pricing Model (CAPM) and learn how to determine the corresponding equilibrium in financial markets. Next, they will learn how to estimate empirically the risk-return relationship predicted by the Capital Asset Pricing Model. Students will also analyze two pricing models alternative to the CAPM. In the Arbitrage Pricing Theory, they will learn how to determine assets expected returns based on multiple risk factors and absence of arbitrage opportunities. In the Consumption Capital Asset Pricing Model, instead, they will learn how to solve the investors' joint consumption/investment decision problem and how to compute the equilibrium asset prices and expected returns in a dynamic pure exchange economy. Finally, the course concludes with a focus on the pricing of fixed income instruments.
What you will learn
- Understand the principles connected to investors' portfolio choices and the criteria that determine the prices of financial instruments
- Understand the main functions performed by the financial markets
- Analyzing how their introduction influences the households' savings choices and companies' investment in an economy without uncertainty