Fiches de cours 2017-2018

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Empirical Asset Pricing

FIN-607

Lecturer(s) :

Rockinger Michael

Language:

English

Frequency

Every year

Summary

This course aims at understanding how to solve certain discrete-time general-equilibrium models.

Content

1. Euler equation, Bellman Principle, Solving Euler equation in Gaussian case, Solving Euler equation via fixed-point techniques (value-function iteration) in univariate case.
2. Solving Euler equation via fixed-point techniques (value-function iteration) in multivariate case. Discussion of paper by Tauchen (JBES), Tauchen and Hussey (E'Metrica). Discussion of Campbell-Cochrane (2000).
3. Behavioral in General Equilibrium: explaining volatility, explaining skewness and kurtosis. Discussion of Barberis Huang and Santos.
4. Portfolio allocation in a discrete dynamic setting. Discussion of MacQueen and Vorkink.
5. Bayesian techniques into a portfolio-allocation setting. Introduction to Bayesian techniques (prior, posterior). Discussion of Barberis (1999).
6 + 7. Predicting returns (Cochrane: discussion of paper on barking dogs and others). How to deal with ambiguity.
8. Questions and answers.

Keywords

Equilibrium Models, Asset Pricing, Integration, Discrete Dynamic Programming.

Learning Prerequisites

Required courses

Asset pricing.

Resources

Websites

In the programs

Reference week

 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German