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Asset Pricing Models

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Asset Pricing Models

Dieser Kurs ist Teil von Spezialisierung „Finance “

Dozent: Giovanni Walter Puopolo

Bei enthalten

Mehr erfahren

5 Module

Verschaffen Sie sich einen Einblick in ein Thema und lernen Sie die Grundlagen.

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Empfohlene Erfahrung

9 Stunden zu vervollständigen

Flexibler Zeitplan

In Ihrem eigenen Lerntempo lernen

5 Module

Verschaffen Sie sich einen Einblick in ein Thema und lernen Sie die Grundlagen.

Stufe Mittel

Empfohlene Erfahrung

9 Stunden zu vervollständigen

Flexibler Zeitplan

In Ihrem eigenen Lerntempo lernen

Was Sie lernen werden

Understand the principles connected to investors' portfolio choices and the criteria that determine the prices of financial instruments
Understand the main functions performed by the financial markets
Analyzing how their introduction influences the households' savings choices and companies' investment in an economy without uncertainty

Kompetenzen, die Sie erwerben

Kategorie: Investment Management
Kategorie: Risk Management
Kategorie: Market Data
Kategorie: Statistical Methods
Kategorie: Investments
Kategorie: Regression Analysis
Kategorie: Capital Markets
Kategorie: Securities (Finance)
Kategorie: Risk Modeling
Kategorie: Equities
Kategorie: Risk Analysis
Kategorie: Portfolio Risk
Kategorie: Portfolio Management
Kategorie: Finance
Kategorie: Financial Market
Kategorie: Time Series Analysis and Forecasting

Wichtige Details

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16 Aufgaben

Unterrichtet in Englisch

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In diesem Kurs gibt es 5 Module

The course covers several advanced topics in asset pricing, trading-off risks and return, and portfolio optimization. More precisely, students will first analyze two relevant extensions of the Capital Asset Pricing Model (CAPM) and learn how to determine the corresponding equilibrium in financial markets.

Next, they will learn how to estimate empirically the risk-return relationship predicted by the Capital Asset Pricing Model. Students will also analyze two pricing models alternative to the CAPM. In the Arbitrage Pricing Theory, they will learn how to determine assets expected returns based on multiple risk factors and absence of arbitrage opportunities. In the Consumption Capital Asset Pricing Model, instead, they will learn how to solve the investors' joint consumption/investment decision problem and how to compute the equilibrium asset prices and expected returns in a dynamic pure exchange economy. Finally, the course concludes with a focus on the pricing of fixed income instruments.

Moduldetails

By the end of this week you will learn: how to determine the equilibrium in financial markets under two distinct scenarios within the Capital Asset Pricing Model framework. First, you'll explore equilibrium determination when there is an absence of a riskless security. Second, you'll delve into the complexities of equilibrium determination when investors' preferences are dynamic, and stock returns follow a normal distribution.

Das ist alles enthalten

19 Videos3 Lektüren3 Aufgaben

19 VideosInsgesamt 39 Minuten

Introduction1 Minute
Introduction1 Minute
Financial Markets with no riskless (safe) asset1 Minute
Zero Beta Portfolio2 Minuten
CAPM without riskless asset2 Minuten
Risk-return tradeoff without a riskless asset /11 Minute
Risk-return tradeoff without a riskless asset /25 Minuten
Risk-return tradeoff without a riskless asset /36 Minuten
Risk-return tradeoff without a riskless asset /44 Minuten
The importance of short selling1 Minute
Asset prices under normal distribution2 Minuten
Log Returns3 Minuten
Merton's Intertemporal CAPM - step 12 Minuten
Merton's Intertemporal CAPM - step 22 Minuten
Merton's Intertemporal CAPM - step 32 Minuten
Merton's Intertemporal CAPM - step 41 Minute
Optimal Portfolio Shares2 Minuten
Equilibrium stock returns - Constant Investment opportunity Set1 Minute
Equilibrium stock returns - Time-Varying riskfree rate1 Minute

3 LektürenInsgesamt 21 Minuten

Zero Beta CAPM10 Minuten
Intertemporal CAPM10 Minuten
To sum up1 Minute

3 AufgabenInsgesamt 49 Minuten

Capital Asset Pricing Model (CAPM) Extensions30 Minuten
Zero Beta CAPM15 Minuten
Intertemporal CAPM4 Minuten

By the end of this week you will learn how to estimate empirically the risk-return relationship predicted by the Capital Asset Pricing Model

Das ist alles enthalten

17 Videos4 Lektüren3 Aufgaben

17 VideosInsgesamt 26 Minuten

Introduction1 Minute
Realized returns and the CAPM2 Minuten
The Market Model /13 Minuten
The Market Model /21 Minute
Empirical tests of the CAPM2 Minuten
Roll Critique /12 Minuten
Roll Critique /2 1 Minute
Roll Critique /31 Minute
Time - series regressions /12 Minuten
Time - series regressions /21 Minute
Time - series regressions /32 Minuten
Time - series regressions /41 Minute
Cross - sectional regressions /11 Minute
Cross - sectional regressions /21 Minute
Cross - sectional regressions /31 Minute
Fama - MacBeth Method1 Minute
General Findings 1 Minute

4 LektürenInsgesamt 10 Minuten

Testable implication of the CAPM3 Minuten
Roll Critique1 Minute
Testing Methodologies5 Minuten
To sum up1 Minute

3 AufgabenInsgesamt 45 Minuten

Testing the Capital Asset Pricing Model (CAPM)15 Minuten
Testable implication of the CAPM15 Minuten
Testing Methodologies15 Minuten

By the end of this week you will learn how to determine assets expected returns based on multiple risk factors and absence of arbitrage opportunities

Das ist alles enthalten

24 Videos4 Lektüren4 Aufgaben

24 VideosInsgesamt 36 Minuten

Introduction1 Minute
Definition of Arbitrage /12 Minuten
Definition of Arbitrage /22 Minuten
The Arbitrage Pricing Theory2 Minuten
The dynamics of realized returns /1 2 Minuten
The dynamics of realized returns /23 Minuten
Assumptions of APT 2 Minuten
The Market Model /13 Minuten
The Market Model /22 Minuten
The Market Model /31 Minute
The Market Model /41 Minute
The Market Model /51 Minute
Two Factors Model /11 Minute
Two Factors Model /22 Minuten
Two Factors Model /31 Minute
Two Factors Model /41 Minute
Two Factors Model /51 Minute
The general case /12 Minuten
The general case /22 Minuten
The general case /31 Minute
Strength and Weaknesses of APT1 Minute
Chen, Roll and Ross (1986)1 Minute
Fama and French (1993)1 Minute
Statistical Approach1 Minute

4 LektürenInsgesamt 38 Minuten

The APT model and definition of arbitrage3 Minuten
The market model10 Minuten
Multiple risks factors15 Minuten
To sum up10 Minuten

4 AufgabenInsgesamt 60 Minuten

The Arbitrage Pricing Theory (APT)30 Minuten
The APT model and definition of arbitrage10 Minuten
The market model10 Minuten
Multiple risks factors10 Minuten

By the end of this week, you will acquire a comprehensive understanding of determining equilibrium in a collaborative exchange economy, where agents make joint decisions on consumption and financial asset investment. Additionally, you will learn how to compute equilibrium asset prices and expected returns.

Das ist alles enthalten

22 Videos4 Lektüren3 Aufgaben

22 VideosInsgesamt 32 Minuten

Introduction1 Minute
The CAPM assumptions2 Minuten
Empirical failures of the CAPM1 Minute
Explore new directions1 Minute
A simplified Lucas tree economy /12 Minuten
A simplified Lucas tree economy /22 Minuten
Solving the model2 Minuten
Equilibrium in the markets2 Minuten
Equilibrium prices1 Minute
Equilibrium expected returns1 Minute
Extending the model to N risky assets1 Minute
Solving the model and equilibrium prices2 Minuten
Including also a safe asset2 Minuten
Dynamic Lucas tree economy2 Minuten
The investor dynamic problem /11 Minute
The investor dynamic problem /21 Minute
The investor dynamic problem /32 Minuten
The investor dynamic problem /41 Minute
The investor dynamic problem /50 Minuten
Equilibrium returns /11 Minute
Equilibrium returns /21 Minute
Equilibrium returns /31 Minute

4 LektürenInsgesamt 31 Minuten

Static CCAPM10 Minuten
Dynamic CCAPM10 Minuten
The Equity Premium Puzzle10 Minuten
To sum up1 Minute

3 AufgabenInsgesamt 55 Minuten

The Consumption Capital Asset Pricing Model (CCAPM)30 Minuten
Static CCAPM15 Minuten
Dynamic CCAPM10 Minuten

By the end of this week, you will gain a comprehensive knowledge of fixed income securities, including an understanding of their diverse characteristics, and the ability to assess their pricing and implied returns