Asset pricing theory

Ects : 6

Enseignant responsable :

  • JEROME DUGAST

Volume horaire : 30

Description du contenu de l'enseignement :

In this course, we will discuss a wide range of topics ranging from optimal portfolio, the CAPM, factor models, consumption-based asset pricing, and arbitrage pricing, to more special ones including asymmetric information, and limits to arbitrage.

  1. Optimal Portfolio Theory and the CAPM
  2. Factor Models
  3. Decision Making under Uncertainty
  4. Consumption-based Asset Pricing
  5. Arbitrage Pricing
  6. Dynamic Asset Pricing
  7. Asymmetric Information and Asset Prices
  8. Limits to Arbitrage
Coefficient : 1 (M1 Finance)<br /> 3ECTS - Coefficient 2 (M2 Quantitative Economics)

Compétence à acquérir :

Master the theoretical concepts of asset pricing

Mode de contrôle des connaissances :

Evaluation: assignments 30%, final exam 70%