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Be English-friendly or any other language-friendly means that UC is taught in a language but can either of the
following conditions:
1. There are support materials in English / other language;
2. There are exercises, tests and exams in English / other language;
3. There is a possibility to present written or oral work in English / other language.
1
6.0
0.0 h/sem
32.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
0.0 h/sem
32.0 h/sem
136.0 h/sem
0.0 h/sem
168.0 h/sem
Since year
2019/2020
Pre-requisites
None
Objectives
This course aims to provide a comprehensive introduction to the pricing of financial assets. We will cover the main pillars of asset pricing, including choice theory, portfolio theory, equilibrium pricing, and arbitrage pricing. Overall, we will opt for breadth of coverage instead of specialization. Some empirical evidence will also be discussed and we will do some applications with real data. At the end of the course, you will be able to read a significant range of current research papers in asset pricing and understand the main issues being discussed.
Program
1. Individual Choice Theory 2. Individual Portfolio Decision 3. Capital Asset Pricing Model 4. Arbitrage Pricing Theory and Factor Models 5. Pricing in Complete Markets
Evaluation Method
The final grade is computed as follows: - Final Exam: 50% - Midterm: 40% - Quizzes, Homework, Class participation: 10%
The exams are closed-book and closed-notes. However, you may use a formula sheet.
Teaching Method
Lectures. Frequent homework assignments.
Observations
Basic Bibliographic
1. Danthine, J-P and J. Donaldson, 2005, Intermediate Financial Theory, 2nd edition, Elsevier Academic Press. 2. Cochrane, J.H., 2001, Asset Pricing, Princeton University Press.
Complementar Bibliographic
1. Ingersoll, J.E., 1987, Theory of Financial Decision Making, Rowman & Littlefield. 2. Huang, C-f and R. H. Litzenberger, 1988, Foundations for Financial Economics, Prentice Hall. 3. Bodie, Kane, and Marcus, 2005, Investments, McGraw-Hill.
