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Asset Pricing II

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Skill Level Intermediate

Language English

Course Overview

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.

Instructors

Enrolment options

Asset Pricing II

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.

Link Video Vimeo: 772352685

Area: Università

Ente: Università degli studi di Napoli Federico II

Lingua: en_US

Badge: No

Nascondi contenuti in pag. Iscrizione: Yes

Vecchia edizione: No

LIS: No

Video Trailer (Embedded): https://player.vimeo.com/video/772352685

Livello Corso: Intermedio

Certificato: No

Messa a fuoco: Modalità Force Focus con controllo dell'allievo

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