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  • Swedish House of Finance
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  • Theoretical Asset Pricing
Swedish House of Finance
  • About
  • Research
  • National PhD program
    • Core courses
    • Mini courses
    • National PhD visitor program
    • National PhD conferences
    • PhD Seminars
    • Job market candidates
    • PhD Placements
    • Other activities
  • Outreach
  • Data center

Theoretical Asset Pricing

This course initiates students to the economic principles behind models of rational valuation and investment choice. To be able to explain how assets are priced, we need to understand how economic agents optimally share their wealth between consumption, savings and investment. As choosing a portfolio of assets is equivalent to choosing various types of financial and/or macroeconomic risks to face with, we learn how the attitude towards risk of economic agents determines investment decisions and impose restrictions on asset prices that lead to the characterization of risk premiums. The main focus is on the relationship between arbitrage and equilibrium, and how both conditions imply the existence of “state prices”, positive discount factors such that the price of any security is simply its discounted expected payoff. All asset prices are then shown to be bundles/portfolios of state prices; debt; stocks, bonds, derivatives, etc. We start with examining static economies then extend into a multi-period framework. Both parts are restricted to discrete time and symmetric and complete information.

Registration and further information

Jenny Wahlberg Andersson

Course administrator 

Please register in advance to:

Jenny.wahlberg.andersson@hhs.se

The registration deadline is December 20, 2020.

 

For further information about the course, please contact Jenny. There will be possibilities for PhD students to receive funding for travelling expenses. To apply, please send a brief motivation letter/mail by the supervisor and a budget to Jenny.

Schedule

Classes will be held online or at the premises of the Swedish House of Finance, Drottninggatan 98, 111 60 Stockholm on the following seven days:

January 26, 13:15-16:00
January 28, 14:15-17:00
February 2, 13:15-16:00
February 4, 14:15-17:00
February 9, 13:15-16:00
February 11, 14:15-17:00
February 16, 13:15-16:00
February 18, 14:15-17:00
February 23, 10:15-12:00
February 25, 10:15-12:00
February 26, 15:15-17:00
March 2, 10:15-12:00
March 4, 10:15-12:00
March 5, 15:15-17:00
March 9, 10:15-12:00
March 11, 10:15-12:00
March 12, 15:15-17:00
March 16, 10:15-12:00
March 18, 10:15-12:00
March 19, 15:15-17:00

Jungsuk Han

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Swedish House of Finance

Drottninggatan 98, 111 60 Stockholm

info@houseoffinance.se +46 8 736 91 00
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