ASSET PRICING
Nicola Borri, Francesco Lippi
Nicola Borri
nborri@luiss.it
Francesco Lippi
flippi@luiss.it
Obiettivi formativi
Understanding models of valuation of uncertaint future cash flows (stocks, bonds, currencies, etc.).
Prerequisiti
As determined by the RoME program.
Risultati di apprendimento attesi
Students will be able to navigate to the state-of-the-art asset pricing literature, both empirical and theoretical.
Contenuti Del Corso
This course is divided in two sections. The first section covers the first six weeks and is taught by N. Borri.
The following are the main topics addressed in the first section of this class:
- A look at financial time series data
- Utility based asset pricing
- Estimation of factor models.
- Habit Models
- Models with Hetereogenous Agents
- Long-run risk models.
Testi Di Riferimento
Cochrane, Asset Pricing.
Papers and notes provided by the instructor.
Metodologie Didattiche
Lectures and assignments with in-class discussion.
Modalità di verifica dell'apprendimento
Weekly problem sets and in-class recitations.
Criteri per l’assegnazione dell’elaborato finale
These criteria are set by the Director of the RoME program.
Il syllabus affronta temi collegati alla sostenibilità?
YES
Settimana 1
Introduction and stylized facts.
Settimana 2
1=E(MR): the fundamental equation of asset pricing.
Settimana 3
Contingent assets, risk-adjusted probabilities, and existence theorems.
Settimana 4
Efficient Frontier and Hansen-Jaganathan bounds.
Settimana 5
Habit models.
Settimana 6
Models with long-run risk and heterogenous agent models.
Settimana 7
Francesco Lippi
Settimana 8
Francesco Lippi
Settimana 9
Francesco Lippi
Settimana 10
Francesco Lippi
Settimana 11
Francesco Lippi
Settimana 12
Francesco Lippi