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Theoretical Asset Pricing

PhD404 - Spring 2023

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

 

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 2023

Classes will be held online on the following days:


Wed 18-Jan 9:15-12:00
Frid 20-Jan 9:15-12:00
Mon 23-Jan 9:15-12:00
Wed 25-Jan 13:15-16:00
Thu 26-Jan 13:15-16:00
Mon 30-Jan 13:15-16:00
Thu 02-Feb 13:15-16:00
Mon 6-Feb 9:15-12:00
Tue 07-Feb 13:15-16:00
Wed 8-Feb 13:15-16:00
Tue 14-Feb 9:15-12:00
Thu 16-Feb 9:15-12:00
Tue 21-Feb 9:15-12:00
Thu 23-Feb 9:15-12:00
Mon 27-Feb 9:15-12:00
Tue 28-Feb 9:15-12:00
Tue 07-Mar 9:15-12:00

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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