Introduction to Asset Pricing

English
GRA 6543
6 Credits

Introduction

Resit examinations will be offered autumn 2019. The planned resit for spring 2020 is cancelled.
This course was run for the last time autumn 2018 as a 1st semester mandatory programme course for MSc in Finance.

The course provides an introduction to financial economics at the MSc level. The course will begin by introducing asset pricing theory. The classical results in portfolio selection and asset pricing theory with the mean-variance paradigm are presented. These results will be challenged and thus further theoretical developments based in the Arbitrage Pricing Theory and Consumption CAPM will be considered. Issues in market efficiency and behavioral finance will be discussed. Finally, application of the theory to option pricing will be considered. This course will provide students with an understanding of the underlying theories used in other courses and some of the empirical approaches to testing these theories.

Course content

1. Arbitrage and Optimality
a) Consumption and investment decisions
b) Utility theory given uncertainty
c) State preference theory

2. Asset Pricing
a) Portfolio theory
b) The Capital Asset Pricing Model
c) The Arbitrage Pricing Theory
d) Risk-Neutral Valuation
e) The Consumption CAPM

3. Market Efficiency
a) Active vs. Passive Management
b) Behavioral Finance
4. Derivative Pricing

Disclaimer

This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.