Asset Pricing

The course offers an introduction to equilibrium modeling for the financial markets. The models attempt to explain prices on different types of financial assets related to fundamental macroeconomic variables (like consumption and production). It provides a tool to understand how financial markets react to changes in relevant macroeconomic variables. The course also discuss empirical results, conventionalized facts and "puzzles" that are unveiled in such facts. The last part of the course can deal with portfolio decisions for long term investors or advanced option pricing.

Knowledge

You learn

• about empirical investigations of the link between the macro economy and stock markets
• advanced theories of asset pricing
• models for the relationship between the aggregate economic variables and financial markets
• models of portfolio choice

Skills

You should be able to

• explain how international stock markets have evolved historically
• assess macroeconomic risk and how such risk affects financial markets
• understand the relationship between different forms of risk and stock market returns
• consider how different risks affect optimal portfolio choice

General competence

You should be able to

• read and understand research papers on the topics of this course

2 hours of lectures every week. The course has compulsory activity. Specific requirements will be announced at the beginning of the term. The term papers can be written as a joint project.