NRE 5360

NRE 5360

Course information provided by the Courses of Study 2014-2015.

This course is an introductory Ph.D. level course on the basic theories of asset pricing. It consists of four parts. The first part deals with individual choices under uncertainty, including expected utility theory, risk aversion, stochastic dominance, and two-period consumption-portfolio problems. The second part deals with equilibrium pricing theories, including implications of no arbitrage and stochastic discount factor, risk sharing, aggregation, and consumption-based pricing in complete markets, mean-variance efficiency and the Capital Asset Pricing Model, and the Arbitrage Pricing Theory. We also explore the relation between these various pricing theories, and extend the treatment of individual consumption/portfolio problems and equilibrium pricing to a multi-period setting. In the third part, we review recent development in asset pricing by introducing some stylized facts and new theories. The fourth part gives a brief introduction to behavioral finance.

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Syllabi: none
  •   Regular Academic Session. 

  • 3 Credits Stdnt Opt

  • 16380 NRE 5360   LEC 001

  • Instruction Mode:
    NON-JOHNSON GRAD STUDENTS ONLY Add/Drop Dates: August 11th at 8:00am to September 9th at 4:00pm. You may add or drop a full semester class after September 9th with permission of the faculty. A late fee of $100.00 will be charged for each add or drop transaction. If you are dropping after October 10th you will also receive a "W" on your transcript in addition to the late fees.