DRE 4012 Asset Pricing Theory
DRE 4012 Asset Pricing Theory
This course description is for the course that was run spring 2017.
The objective of this course is to undertake a rigorous study of the foundations of modern financial economics in discrete-time settings. The course will cover the central themes of modern finance including investment decisions under uncertainty, mean-variance theory, dynamic capital-market equilibrium and asset valuation, and the potential application of these themes. Upon completion of this course, students should acquire a clear understanding of the major theoretical results concerning individuals decisions under uncertainty and their implications for the valuations of securities.
- Introduction and overview, review of basic economic theory, some empirical facts
- Preferences, risk aversion
- Portfolio choice in a two-period model
- Markets: complete vs. incomplete, equilibrium, risk sharing
- Arbitrage, state prices, law of one price, stochastic discount factors
- Mean-variance analysis, beta representations
- Conditional vs. unconditional models
- Dynamic consumption-portfolio choice, dynamic programming
- Equilibrium models, consumption CAPM, special cases
- Exotic preferences: recursive, habit formation
- Production models
- Market imperfections: asymmetric information, transaction costs, capital immobility
Enrollment in a PhD Programme is a general requirement for participation in PhD courses at BI Norwegian Business School.
External candidates are kindly asked to attach confirmation of enrollment in a PhD programme when signing up for a course. Other candidates may be allowed to sit in on courses by approval of the courseleader. Sitting in on a course does not permit registration for the course, handing in exams or gaining credits for the course. Course certificates or conformation letters will not be issued for sitting in on courses.
| Assessments |
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Exam category: Submission Form of assessment: Written submission Weight: 30 Grouping: Individual Duration: 1 Month(s) Exam code: DRE40121 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
Exam category: Submission Form of assessment: Written submission Invigilation Weight: 70 Grouping: Individual Support materials:
Duration: 3 Hour(s) Exam code: DRE40121 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 6 ECTS credits corresponds to a workload of at least 160 hours.