Asset pricing
FIN-701 / 3 credits
Teacher: Bretscher Lorenzo
Language: English
Remark: If you would like to attend this course, please send an email to: edfi@epfl.ch to register
Frequency
Every year
Summary
Its main objective is to rigorously develop the foundations of modern financial economics and asset pricing theory. While the focus of the course is theoretical, we will consider empirical evidence alongside. The course is designed for first-year PhD students in finance.
Content
This course provides an introduction to financial economics. Its main objective is to rigorously develop the foundations of modern financial economics and asset pricing theory. While the focus of the course is theoretical, we will consider empirical evidence alongside. The course is designed for first-year PhD students in finance, and assumes familiarity with basic microeconomics and macroeconomics, as well as mathematics and statistics.
Topic I: Choice under Uncertainty
Topic II: Preferences, risk aversion, portfolio choice
Topic III: State Prices, Arbitrage, and Stochastic Discount Factors
Topic IV: CAPM, APT, Linear Factor Models
Topic V: Excess Volatility and Return Predictability
Topic VI: Consumption Based Asset Pricing and Intertemporal Models
Topic VII: Recent Developments in Asset Pricing
Assessment methods
Written Exam
In the programs
- Exam form: Written (session free)
- Subject examined: Asset pricing
- Lecture: 28 Hour(s)
- Exercises: 30 Hour(s)
- Type: optional