Aller à : contenu haut bas recherche
 
 
EN     FR
Vous êtes ici:   UNIL > HEC Inst. > HEC App. > SYLLABUS
 
 

Asset Pricing / LT Portfolio Mgt

  • Enseignant(s): J.Walden
  • Titre en français: Valorisation des actifs financiers / LT Portfolio Mgt
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre de printemps 2018-2019, 4.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données

    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

 

Objectifs

-

Contenus

This is an intermediate course on asset pricing, portfolio choice and investment theory. The course will cover fundamental theory as well as practical implications, in three parts.

In the first part, on investor preferences and portfolio choice, we introduce the micro foundation for how investors make choices under uncertainty. Our main focus is on the neoclassical von Neumann-Morgenstern expected utility setting, but we will also discuss several rational and behavioral modifications and extensions, for example, Epstein-Zin preferences and Prospect Theory.

In the second part of the course, we study equilibrium asset pricing theory, introducing classical models like the Capital Asset Pricing Model (CAPM) and the Consumption-based CAPM (CCAPM). In addition to covering theory, we discuss the major implications for investors, e.g., with respect to diversification, systematic versus idiosyncratic risk, and consumption smoothing. We will also discuss several challenges for the theory, for example, the equity premium puzzle, the risk-free rate puzzle, and the excess volatility puzzle.

In the third and final part of the course, we study (no-) arbitrage theory, and its powerful applications to financial markets, e.g. the, markets for derivatives and bonds. We discuss the relationship between no-arbitrage and existence of risk-neutral pricing (or, equivalently, so-called stochastic discount factors). We also cover the Arbitrage Pricing Theory (APT). Finally, we discuss some exciting recent developments within asset pricing. The teaching format will be a combination of lectures, in-class quizzes, and assignments.

Références

  1. Intermediate Financial Theory, 3rd Edition, by Jean-Pierre Danthine and John B. Donaldson, Academic Press/Elsevier, 2015.
  2. Theory of Financial Decision Making, by Jonathan Ingersoll, Rowman and Littlefield, 1987.
  3. Asset Pricing, Revised Edition, by John Cochrane, Princeton University Press, 2005.
  4. Dynamic Asset Pricing Theory, 3rd edition, by Darrell Duffie, Princeton University Press, 2001.
  5. Arbitrage Theory in Continuous Time, 3rd Edition, by Tomas Björk, Oxford University Press, 2009.

Pré-requis

None

Evaluation

1ère tentative

Examen:
Ecrit 3h00 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée avec restrictions
Evaluation:

Your overall course grade will be based on final exam performance, assignments, and in-class quizzes. The grade will be aggregated according to the following weights: 25% assignments, 25% quizzes, 50% final exam. The final exam is mandatory, whereas in-class quizzes and assignments are optional in the sense that if they do not contribute positively to your total grade, they will be excluded. Students are strongly recommended to hand in assignments and quizzes. The formula for the total course score is hence: 𿑇 =0.25(max(2E¿¿, E + A) + max(2E, E + Q)).

Allowed documentation : personal notes, home-made, maximum one A4 both sides

Rattrapage

Examen:
Ecrit 3h00 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée avec restrictions
Evaluation:
Allowed documentation : personal notes, home-made, maximum one A4 both sides


[» page précédente]           [» liste des cours]
 
Recherche


Internef - CH-1015 Lausanne - Suisse  -   Tél. +41 21 692 33 00  -   Fax +41 21 692 33 05
Swiss University