教學大綱 Syllabus

Week

Course Theme

Content and reading assignment

Activity and homework

Lecture hours

Preparation time

1 

Course introduction

Course introduction

-

3

2

2

Utility and risk aversion

Utility functions, risk aversion and certainty equivalent

-

3

2

3

Utility and risk aversion

Linear risk tolerance, utility and wealth moment

Exercise 1

3

2

4

Portfolio choice problem

First order condition, single risky asset, multiple risky asset, CARA normal model

-

3

2

5

Portfolio choice problem

Mean variance preference, linear risk tolerance

Exercise 2

3

2

6

Stochastic discount factors

Concept of SDFs, Arbitrage, the law of one price and existence of SDFs

-

3

2

7

Stochastic discount factors

Complete market and uniqueness of the SDF, risk-neutral probabilities

-

3

2

8

Stochastic discount factors

Orthogonal projection method, Hansen-Jagannathan bounds, hedging and optimal portfolio with quadratic utility

Exercise 3

3

2

9

Mid-term exam week

-

-

3

2

10

Concept of equilibrium and efficiency

Pareto equilibrium, competitive equilibria, linear risk tolerance.

-

3

2

11

Concept of equilibrium and efficiency

Graphic analysis, mean-variance frontier of risky asset and with the risk-free asset

Exercise 4

3

2

12 

Mean-variance portfolio optimization

orthogonal projection method, frontier return, SDFs

-

3

2

13 

Beta pricing models

CAPM, General factor models, Jensen’s alpha and performance evaluation

-

3

2

14

Beta pricing models

Statistical factors, arbitrage pricing theory, empirical performance of popular models

Exercise 6

3

2

15

Representative agent in financial economics

Pareto optimality implies a representative investor, linear risk tolerance, consumption based CAPM Option pricing model

Exercise 7

3

2

16

Asymmetric information

No-trade theorem, normal-normal updating, fully revealing equilibria, Grossman-Stiglitz mode

Exercise 8

3

2