Type of Credit: Required
Credit(s)
Number of Students
This course will provide students a deeper understanding of various asset pricing theory including CAPM, arbitrage pricing theory as well as behavioral finance. We will start from axiomatic approach to reach the theoretical capital asset pricing framework. After introducing theoretical materials we will go to empirical application and examination of the financial markets.
能力項目說明
This course provides doctoral students the required tools for advanced research and investigates some recent developments in financial economics.
The subjects include capital asset pricing, portfolio selection and management, behavioral finance, and FinTech innovations which will introduce the recent development in artificial intelligence and blockchain.
The objectives of the course are enabling students to thoroughly understand the theory and practical applications as well as do relevant research.
| 教學週次Course Week | 彈性補充教學週次Flexible Supplemental Instruction Week | 彈性補充教學類別Flexible Supplemental Instruction Type |
|---|---|---|
No. Date Chapter Subjects and Assignments
1. 02/23 Introduction
2. 03/01 Math. review
3. 03/08 Utility theory-expected utility theory
4. 03/15 Utility theory-risk aversion
5. 03/22 Utility theory-multiperiod utility fuction
6. 03/29 Arbitrage and pricing
7. 04/05 Arbitrage pricing theory
8. 04/12 Mean -Variance portfolio analysis
9. 04/19 Mean -Variance portfolio analysis
10. 04/26 Generalized risk and stochastic dominace
11. 05/03 Portfolio separation theorems
12. 05/10 Complete and incomplete markets
13. 05/17 Linear factor model: arbitrage pricing theory
13. 05/24 Intertemporal models in finance
14. 05/31 Capital structure of the firm
15. 06/07 Final presentation
16. 06/14 Final presentation
Final tests / term paper -------------------------50 %
Mid-term examination-------------------------- 25%
Evaluation and/or Homework ------------------25%
Total 100%
1. Ingersoll, J., 2022, Financial Theories and models.
2 Ingersoll, J., 1987, Theory of Financial Decision making, Rowman and Littlefield
3. Merton, 1992, Continuous-Time Finance, Willey.
4. Bodie, Kane and Marcus, 2017, Investments, McGraw-Hill College