Informações principais
Sobre o conteúdo
This course is part one of a two-part introductory survey of graduate-level academic asset pricing. We will focus on building the intuition and deep understanding of how the theory works, how to use it, and how to connect it to empirical facts. This first part builds the basic theoretical and empirical tools around some classic facts. The second part delves more deeply into applications and empirical evaluation.
Programa de estudos
- Week 1: Stochastic Calculus Introduction and Review. dz, dt and all that.
- Week 2: Introduction and Overview. Challenging Facts and Basic Consumption-Based Model.
- Week 3:
- Classic issues in Finance
- Equilibrium, Contingent Claims, Risk-Neutral Probabilities.
- Week 4: State-Space Representation, Risk Sharing, Aggregation, Existence of a Discount Factor.
- Week 5: Mean-Variance Frontier, Beta Representations, Conditioning Information.
- Week 6: Factor Pricing Models -- CAPM, ICAPM and APT.
- Week 7: Econometrics of Asset Pricing and GMM.
- Final Exam
- Spring break (1 week)
-
Week 1: Factor pricing models in action
- The Fama and French model
- Fund and performance evaluation.
- Week 2: Time series predictability, volatilty and bubbles.
- Week 3: Equity premium, macroeconomics and asset pricing.
- Week 4: Option Pricing.
- Week 5: Term structure models and facts.
- Week 6: Portfolio Theory.
- Final Exam
Instrutores
- John Cochrane - Booth School of Business
Criador do conteúdo
Plataforma
A Coursera é uma empresa digital que oferece um curso on-line massivo e aberto, fundado pelos professores de computação Andrew Ng e Daphne Koller Stanford University, localizado em Mountain View, Califórnia.
O Coursera trabalha com as melhores universidades e organizações para disponibilizar alguns dos seus cursos on-line e oferece cursos em várias disciplinas, incluindo: física, engenharia, humanidades, medicina, biologia, ciências sociais, matemática, negócios, ciência da computação, marketing digital, ciência de dados. e outros assuntos.Cours
