Mediaspace scheduled maintenance: Aug 25, 2026 07:00 - 12:00 AM. During this time, videos will be temporarily unavailable. Check status updates.

Home

Lecture

Asset Pricing and Portfolio Optimization

About
Privacy
Disclaimer

Graph Chatbot

Related lectures (45)

Factor Models: Portfolio Optimization and APT Log in to Mediaspace to watch this video

Covers mean-variance portfolio choice, factor models, APT, Sharpe ratio, size and value anomalies, Fama and French models, and factor search.

Efficient Portfolio: CAPM Application Log in to Mediaspace to watch this video

Explores efficient portfolios and the CAPM model in finance, analyzing risk, returns, and market relationships.

Introduction to Derivatives Log in to Mediaspace to watch this video

Introduces the history and concepts of derivatives, including forward contracts, options, and their use in hedging and speculation.

Financial Performance Evaluation Log in to Mediaspace to watch this video

Covers fund performance evaluation, empirical evidence, anomalies, factor models, and the comparison between APT and CAPM.

Asset Pricing Framework Log in to Mediaspace to watch this video

Explores asset pricing, equity premium puzzle solutions, stock prices, dividends, CAPE, and interest rate structures.

Multiperiod Valuation and Hedging Log in to Mediaspace to watch this video

Explores arbitrage, martingale measures, and market completeness in multiperiod models, focusing on pricing and hedging strategies.

Mean-Variance Efficient Frontier Log in to Mediaspace to watch this video

Explores the Mean-Variance case, Market Equilibrium, CAPM, and Efficient Market Hypothesis.

Introduction to Derivatives: Trading Log in to Mediaspace to watch this video

Covers piecewise linear payoffs, types of contracts, binomial model, and trading strategies.

Options in Corporate Finance Log in to Mediaspace to watch this video

Introduces the principles of options in corporate finance, covering markets, terminology, valuation, and pricing models.

Capital Asset Pricing Model: Theory and Applications Log in to Mediaspace to watch this video

Explores the Capital Asset Pricing Model, covering risk-return trade-off, SML, betas estimation, and applications in finance.

Generalized Method of Moments (GMM)Log in to Mediaspace to watch this video

Introduces the Generalized Method of Moments (GMM) in econometrics, focusing on its application in instrumental variable estimation and asset pricing models.

Introduction to Finance: Risk and Return in Portfolios Log in to Mediaspace to watch this video

Covers risk and return tradeoffs in portfolios, diversification benefits, and the efficient frontier with multiple assets.

Factor Models: Latent Variables and Asset Pricing Log in to Mediaspace to watch this video

Covers Factor Models, including PCA, asset pricing, factor investing, GMM, and Fama-McBeth estimation.

Portfolio Optimization: Models and Strategies Log in to Mediaspace to watch this video

Explores portfolio optimization models and strategies under uncertainty, emphasizing decision criteria like value-at-risk and mean-variance functional.

Stochastic Optimal Control: Martingale Theorem Log in to Mediaspace to watch this video

Explores Stochastic Optimal Control, emphasizing Optimal Consumption and Investment, the Martingale Representation Theorem, and the Verification Theorem.

Optimization Problems: Path Finding and Portfolio Allocation Log in to Mediaspace to watch this video

Covers optimization problems in path finding and portfolio allocation.

Stochastic Simulation: Variance Reduction Techniques Log in to Mediaspace to watch this video

Explores variance reduction techniques in stochastic simulation, emphasizing the use of auxiliary random variables and sample averages to improve efficiency.

Investment Strategies and Risk Analysis Log in to Mediaspace to watch this video

Explores various investment strategies, risk analysis, and valuation under uncertainty in financial markets.

Investments: Understanding Bull and Bear Markets Log in to Mediaspace to watch this video

Explores bull and bear markets, market cycles, Covid crisis impact, and investment strategies.

The Black-Scholes-Merton Model Log in to Mediaspace to watch this video

Covers the Black-Scholes-Merton model, dynamics, self-financing strategies, and the PDE.

Page 2 of 3