DRE 4027 Asset Pricing Theory II
DRE 4027 Asset Pricing Theory II
The objective of this course, divided into two parts, is to undertake a rigorous study of the fundamental theories of modern financial economics regarding the role of asset markets and the determination of asset prices. Specifically, the course will provide students with an overview of asset pricing theory, preparing them for independent research in both empirical and theoretical asset pricing. The primary focus will be on discrete-time settings, though some analysis in continuous time may be introduced. The course will cover central themes such as choice under uncertainty, static and dynamic portfolio selection, equilibrium, efficiency, and asset prices. Both consumption-based and production-based theories will be explored in relation to both the cross-section and time-series dimensions of asset prices.
At the end of part 2 of this course, the students will know
- how dynamic theories of asset prices explain observed characteristics of stock and bond prices
- how investor heterogeneity and market incompleteness modify the predictions from the representative or complete market setting
- information aggregation in markets with asymmetric information
- basics of option and risk-neutral pricing
Upon successful completion, students will be able to derive asset pricing implications and testable hypotheses of various models.
Upon successful completion, students will be able to provide the economic intuition of various models in explaining asset prices and understand the challenges of the current theories.
- Dynamic portfolio choice
- Dynamic consumption-based asset pricing
- Production-based asset pricing
- Derivative pricing
- Asymmetric information and REE
- Fixed-income securities (if time permits)
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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 confirmation letters will not be issued for sitting in on courses.
Disclaimer
Deviations in teaching and exams may occur if external conditions or unforeseen events call for this.
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| Assessments |
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Exam category: School Exam Form of assessment: Written School Exam - pen and paper Exam/hand-in semester: First Semester Weight: 100 Grouping: Individual Support materials:
Duration: 3 Hour(s) Exam code: DRE 40271 Grading scale: ECTS 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 3 ECTS credit corresponds to a workload of at least 80 hours.