資產評價理論
Asset Pricing Theory
學期
115-1
學分
3
學分
當期課號
537714
永久課號
MGIF30077
開課單位
資訊管理與財務金融系財務金融碩博士班
授課教師
郭家豪
校區
光復
類別
選修
上課時間表
| 節 | 週三 |
|---|---|
7 15:30–16:20 | 資產評價理論 M101 3 節連堂 |
8 16:30–17:20 | |
9 17:30–18:20 |
* 根據陽明交大上課時間表所列
概述
This course covers theories of asset pricing that are foundation of current theoretical and empirical research in financial economics. It includes models of individual consumption and portfolio choice and their implications for equilibrium asset prices. Contingent claims valuation techniques based on the absence of arbitrage are also presented. In addition, recent models of utility such as time-inseparable or behavioral biases are considered here.
評分方式
Class Participation (50%), Final Report (50%).
課程大綱
- Portfolio Choice and Asset Pricing
- Contingent Claims Pricing
- Asset Pricing in Continuous Time
週次計畫
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction |
| 第 2 週 | Expected Utility, Risk Aversion ,and Mean-Variance Analysis |
| 第 3 週 | CAPM, Arbitrage, Linear Factor Models and Mean-Variance Analysis |
| 第 4 週 | Consumption-Savings Decisions and State Pricing |
| 第 5 週 | A Multi-period Discrete-Time Model of Consumption and Portfolio Choice |
| 第 6 週 | Multi-period Market Equilibrium |
| 第 7 週 | Multi-period Market Equilibrium |
| 第 8 週 | Basics of Derivative Pricing and Essentials of Diffusion Processes |
| 第 9 週 | Dynamic Hedging and PDE Valuation |
| 第 10 週 | Arbitrage, Martingales, and Pricing Kernels |
| 第 11 週 | Mixing Diffusion and Jump Processes |
| 第 12 週 | Continuous-Time Consumption and Portfolio Choice |
| 第 13 週 | Equilibrium Asset Returns |
| 第 14 週 | Time-Inseparable Utility |
| 第 15 週 | Behavioral Finance and Asset Pricing |
| 第 16 週 | Final Report Presentation |
教科書
Selected papers Reference book: The Theory of Asset Pricing, by George Pennacchi.
Office Hours
- 地點
- Room 411, Management Building I
- 時間
- (三)X(四)X
- 聯絡方式
- Appointment by Email jiahau@faculty.nctu.edu.tw 03-5712121#57078