FIN-609: Asset Pricing (2011 - 2024)

Lectures in this course (31)

Explains Pareto efficiency, social planner's problem, and optimal consumption allocation in complete markets.

Covers volatility modeling in risk management, including ARMA, ARCH, GARCH models, causal representation, and forecasting.

Explains the determination of equilibrium state prices in asset pricing through consumption market clearing and budget constraints.

Explores factor models, pricing theory, CAPM, and market portfolio efficiency.

Explores mean variance analysis, CAPM, risk aversion, and Sharpe ratio in asset pricing.

Covers the fundamental theorems of asset pricing, including EMM, self-financing strategies, risk-neutral pricing, and completeness of markets.

Covers mean-variance efficiency, market completeness, and optimal portfolio weights in asset pricing and portfolio optimization.

Covers the Euler equation, dynamic programming, and optimal consumption in portfolio allocation.

Explores asset pricing theorems and the Black-Scholes formula derivation in discrete time economies.

Explores the Excess Volatility Puzzle in asset pricing, analyzing stock price discrepancies and return predictability.

Covers dynamic portfolio choice, wealth dynamics, HJB equation, and asset pricing puzzles.

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