GRA 6543 Introduction to Asset Pricing

GRA 6543 Introduction to Asset Pricing

Course code: 
GRA 6543
Department: 
Finance
Credits: 
6
Course coordinator: 
Sven Klingler
Course name in Norwegian: 
Introduction to Asset Pricing
Product category: 
Master
Portfolio: 
MSc in Business - Finance
Semester: 
2019 Autumn
Active status: 
Hold - temporarily
Level of study: 
Master
Deactivate term: 
2019 Autumn
Teaching language: 
English
Course type: 
One semester
Introduction

Resit examinations will  be offered autumn 2019. The planned resit for spring 2020 is cancelled.
This course was run for the last time autumn 2018 as a 1st semester mandatory programme course for MSc in Finance. 

The course provides an introduction to financial economics at the MSc level. The course will begin by introducing asset pricing theory. The classical results in portfolio selection and asset pricing theory with the mean-variance paradigm are presented. These results will be challenged and thus further theoretical developments based in the Arbitrage Pricing Theory and Consumption CAPM will be considered. Issues in market efficiency and behavioral finance will be discussed. Finally, application of the theory to option pricing will be considered. This course will provide students with an understanding of the underlying theories used in other courses and some of the empirical approaches to testing these theories.

Learning outcomes - Knowledge

After taking the course, the students shall understand how economists build economic models of asset prices, what the key implications and predictions of these models are and how they help us to understand why and how asset prices move. Furthermore, student should know how to test asset pricing models and interpret tests of asset pricing models using real world data.

  • Examples of concepts that students shall be able to explain: utility maximization, optimal investment and consumption decisions, risk aversion, decision making under risk, choices between risky alternatives, choices between risk free and risk alternatives, optimal portfolio allocation, determination of expected returns, risk-neutral pricing, and market efficiency.
Learning outcomes - Skills

After taking the course, the students shall be able to apply the aquired knowledge in analyses and discussions of problems that arise in decision making in the presence of risk. Examples:

  • Optimal choices under risk
  • Pricing financial assets
General Competence

After taking the course, the students shall be able to ask critical questions and reflect on crucial assumptions and theories within the field of asset pricing.

Course content

1. Arbitrage and Optimality
a) Consumption and investment decisions
b) Utility theory given uncertainty
c) State preference theory

2. Asset Pricing
a) Portfolio theory
b) The Capital Asset Pricing Model
c) The Arbitrage Pricing Theory
d) Risk-Neutral Valuation
e) The Consumption CAPM

3. Market Efficiency
a) Active vs. Passive Management
b) Behavioral Finance
4. Derivative Pricing

Teaching and learning activities

Please note that while attendance is not compulsory in all courses, it is the student’s own responsibility to obtain any information provided in class that is not included on the course homepage/It's learning or text book.

All parts of the assessment must be passed in order to get a grade in the course.

Software tools
No specified computer-based tools are required.
Additional information

Anyone who takes GRA 6543 Introduction to Asset Pricing cannot also take GRA 6540 Applied Finance.

Qualifications

All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have specific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.

Exam categoryWeightInvigilationDurationSupport materialsGroupingComment exam
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA65432
Grading scale:
ECTS
Grading rules:
Internal and external examiner
Resit:
Examination when next scheduled course
30Yes2 Hour(s)
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Individual Mid-term written examination under supervision.
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA65433
Grading scale:
ECTS
Grading rules:
Internal and external examiner
Resit:
Examination when next scheduled course
70Yes3 Hour(s)
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Individual Final written examination under supervision.
Exams:
Exam category:Submission
Form of assessment:Written submission
Weight:30
Invigilation:Yes
Grouping (size):Individual
Support materials:
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Duration:2 Hour(s)
Comment:Mid-term written examination under supervision.
Exam code:GRA65432
Grading scale:ECTS
Resit:Examination when next scheduled course
Exam category:Submission
Form of assessment:Written submission
Weight:70
Invigilation:Yes
Grouping (size):Individual
Support materials:
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Duration:3 Hour(s)
Comment:Final written examination under supervision.
Exam code:GRA65433
Grading scale:ECTS
Resit:Examination when next scheduled course
Type of Assessment: 
Ordinary examination
Total weight: 
100
Sum workload: 
0

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.