Type of Credit: Required
Credit(s)
Number of Students
This course provides an in-depth introduction to the fundamental concepts and mathematical tools of financial economics, with a specific emphasis on asset pricing. Key topics covered include discrete-time asset pricing models, empirical approaches to asset pricing, and the analysis of pricing theories derived from seminal theoretical papers.
能力項目說明
Students will gain a solid understanding of the foundational topics in asset pricing theory, enabling them to read and comprehend theoretical research papers in the field. Additionally, they will acquire the tools necessary to initiate their own academic research in financial economics.
| 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 |
|---|---|---|
|
週次 Week |
課程主題 Topic |
課程內容與指定閱讀 Content and Reading Assignment |
|
1 |
Choice under Uncertainty: Expected Utility |
Huang and Litzenberger Ch.1; Campbell Ch.1 |
|
2 |
Choice under Uncertainty: Risk Aversion |
Huang and Litzenberger Ch.1; Campbell Ch.1,2 |
|
3 |
No Arbitrage, State Prices, and Stochastic Discount Factors |
Cochran Ch.1,3; Campbell Ch.4 |
|
4 |
Present-Value Relations |
Campbell Ch.5 |
|
5 |
Beta decomposition |
Selected papers Campbell Ch.5 |
|
6 |
Mean-Variance Efficiency and Optimal Portfolio Construction |
Huang and Litzenberger Ch.3; Campbell Ch.3,4 |
|
7 |
Mean-Variance Efficiency and Optimal Portfolio Construction |
Huang and Litzenberger Ch.3; Campbell Ch.3,4 |
|
8 |
Relation between Discount Factors, Betas, and Mean-Variance Frontiers |
Huang and Litzenberger Ch.3; Campbell Ch.3,4 Cochran Ch.4,5,6 |
|
9 |
Relation between Discount Factors, Betas, and Mean-Variance Frontiers |
Selected papers; Huang and Litzenberger Ch.3; Campbell Ch.3,4 Cochran Ch.4,5,6 |
|
10 |
The Equity Premium Puzzle: Consumption CAPM, The Equity Premium Puzzle |
Campbell Ch.6 |
|
11 |
The Equity Premium Puzzle: The Risk-Free Rate Puzzle, The Habit Formation Model |
Campbell Ch.6 |
|
12 |
Multifactor Models |
Campbell Ch.9; Selected papers |
|
13 |
Multifactor Models |
Campbell Ch.9; Selected papers |
|
14 |
Strategic Trading and Limit Order Market: Kyle model |
Own materials; Selected papers |
|
15 |
Competitive Trading: REE model |
Own materials; Selected papers |
|
16 |
Final exam |
|
|
17 |
Self-study week |
|
|
18 |
Self-study week |
Grades in this course will be determined based on assignments, individual presentations, and a final exam. The evaluation will be weighted as follows: