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Asset Pricing and Portfolio Choice Theory (Financial Management Association Survey and Synthesis) 1st Edition
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Dynamic Models
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- Traditional factor models, including the CAPM, are related to or derived from stochastic discount factors.
- A chapter on stochastic calculus provides the needed tools for analyzing continuous‐time models.
- The first two parts of the book explain portfolio choice and asset pricing theory in single‐period, discrete‐time, and continuous‐time models.
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Top reviews from the United States
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Grades will be based 40% on individual homework assignments, 20% on the midterm exam, 10% on class participation, and 30% on the final exam. Late homeworks will not be accepted, but I will drop the lowest homework score. If your institution is not listed or you cannot sign in to your institution’s website, please contact your librarian or administrator.
We will start with single-period models and then move to dynamic models in both discrete and continuous time. We’ll develop the theory of dynamic programming in continuous time and use it to study portfolio choice and some corporate investment decisions. Dynamic programming and other aspects of the mathematics of uncertainty in continuous time are useful in other areas of economics https://forexarena.net/ and finance as well. This course is an introduction to asset pricing and portfolio choice theory. Understanding how assets are priced is also important for issuing entities, like corporations, so asset pricing is also part of the foundation for corporate finance. We take supply (a topic in corporate finance) as given in this course and study demand (portfolio choice).
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The first two parts of the book explain portfolio choice and asset pricing theory in single‐period, discrete‐time, and continuous‐time models. For valuation, the focus throughout is on stochastic discount factors and their properties. Traditional factor models, including the CAPM, are related to or derived from stochastic discount factors. A chapter on stochastic calculus provides the needed tools for analyzing continuous‐time models. Each chapter includes a “Notes and References” section and exercises for students.
