Lecture

Asset Pricing: PhD Lecture

Graph Chat

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

In course

FIN-609: Asset Pricing (2011 - 2024)

This course provides an overview of the theory of asset pricing and portfolio choice theory following historical developments in the field and putting emphasis on theoretical models that help our understanding of financial decision making and financial mar ...

Description

This lecture covers the asset pricing model in PhD classes, focusing on equations and solutions for a and b coefficients, risk-free assets, continuation utility, stochastic discount factor, portfolio choice, and mean-preserving spreads. The instructor discusses the preference for early resolution of uncertainty, the second-order stochastic dominance, and the Euler equation for the EZ agent. The lecture also explores the impact of early resolution on asset pricing puzzles and the magnitude of preference for early resolution. Various examples and theorems are presented to illustrate concepts.

Instructor

Semyon Malamud

Teaching & PhD PhD Students Johannes Schwab, Onur Demiray, Giuseppe Matera Past EPFL PhD Students Rémy Praz, Evgeny Petrov, Yuan Zhang, Julien Arsène Blatt, Erik Hapnes, Teng Andrea Xu, Boris Kuznetsov Courses Big Data and Machine Learning for Financial Economics FIN-622 This class is an introduction to Machine Learning and High Dimensional Statistics in Finance. We start with purely empirical approach, focusing first on high dimensional regressions then moving to kernel methods and deep l

Official source

Ontological neighbourhood

Economics

Microeconomics: Financial economics

Related concepts (32)

Asset pricing

In financial economics, asset pricing refers to a formal treatment and development of two main pricing principles, outlined below, together with the resultant models. There have been many models developed for different situations, but correspondingly, these stem from either general equilibrium asset pricing or rational asset pricing, the latter corresponding to risk neutral pricing.

Capital asset pricing model

In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio. The model takes into account the asset's sensitivity to non-diversifiable risk (also known as systematic risk or market risk), often represented by the quantity beta (β) in the financial industry, as well as the expected return of the market and the expected return of a theoretical risk-free asset.

Fundamental theorem of asset pricing

The fundamental theorems of asset pricing (also: of arbitrage, of finance), in both financial economics and mathematical finance, provide necessary and sufficient conditions for a market to be arbitrage-free, and for a market to be complete. An arbitrage opportunity is a way of making money with no initial investment without any possibility of loss. Though arbitrage opportunities do exist briefly in real life, it has been said that any sensible market model must avoid this type of profit.

Gifford Lectures

The Gifford Lectures (ˈgɪfərd) are an annual series of lectures which were established in 1887 by the will of Adam Gifford, Lord Gifford. Their purpose is to "promote and diffuse the study of natural theology in the widest sense of the term – in other words, the knowledge of God." A Gifford lectures appointment is one of the most prestigious honours in Scottish academia. The lectures are given at four Scottish universities: University of St Andrews, University of Glasgow, University of Aberdeen and University of Edinburgh.

1 + 2 + 3 + 4 + ⋯

The infinite series whose terms are the natural numbers 1 + 2 + 3 + 4 + ⋯ is a divergent series. The nth partial sum of the series is the triangular number which increases without bound as n goes to infinity. Because the sequence of partial sums fails to converge to a finite limit, the series does not have a sum. Although the series seems at first sight not to have any meaningful value at all, it can be manipulated to yield a number of mathematically interesting results.

Related lectures (64)

Dynamic Portfolio Choice: Wealth Dynamics and HJB Equation

Covers dynamic portfolio choice, wealth dynamics, HJB equation, and asset pricing puzzles.

Factor Models and CAPM

Covers the Capital Asset Pricing Model, estimating betas, empirical evidence on returns versus beta, short-sale constraints, and optimal portfolio choice.

Asset Pricing Puzzles: Understanding Risk and Utility Models

Explores asset pricing puzzles, risk-return dynamics, and utility models in financial economics.

Efficient Portfolio: CAPM Application

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

Equilibrium State Prices Determination