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Asset Pricing Theory

This document outlines an asset pricing theory course. The course will provide an in-depth treatment of asset pricing theories and models using mathematical and statistical tools. Students will learn about topics like expected utility theory, mean variance portfolio theory, the capital asset pricing model, and the term structure of interest rates. Students will be assessed through problem sets, quizzes, exams, papers, class participation, and presentations. The course aims to provide students with a theoretical understanding of modern finance and its applications.

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Noshaba Maqsood
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59 views2 pages

Asset Pricing Theory

This document outlines an asset pricing theory course. The course will provide an in-depth treatment of asset pricing theories and models using mathematical and statistical tools. Students will learn about topics like expected utility theory, mean variance portfolio theory, the capital asset pricing model, and the term structure of interest rates. Students will be assessed through problem sets, quizzes, exams, papers, class participation, and presentations. The course aims to provide students with a theoretical understanding of modern finance and its applications.

Uploaded by

Noshaba Maqsood
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Subejct; Asset Pricing Theory

Instructor Shama Noreen

University of Narowal, Narowal

Course Description
The course provides an in-depth treatment of asset pricing theories and models. Emphasis is on
applications of mathematical and statistical tools to provide a rigorous development of each
topic. Students are assessed through a variety of means, which may include problem sets,
quizzes, exams, papers, class participation, and presentations.

Learning Outcomes
The Course Learning Outcomes are what you should be able to DO by the end of this course if
you participate fully in learning activities and successfully complete the assessment items. The
course provides the theoretical underpinnings of modern finance and its applications. The course
emphasizes fundamental understanding and full construction of methods and result of finance
theory. This will be done in class and with students as an integral part of this process.

Course outline

Week Contents
Week 1 Asset Pricing Intelligence; What is Finance?
Week 2 Introduction to Capital Markets; The Two period Model: Consumption,
Production, Capital Markets, Investments; Separation
Week 3 The Two period Mode, Time value of money analytics, mappings;
Historical Returns,
Week 4 Time-series and cross-sectional stylized facts on equity, bond and currency
returns
Week 5 Security Indices; Expected Utility Theory ,Historical Returns, Expected
Utility Theory,
Week 6 Security Indices; Stochastic Dominance

Week 7 Expected Utility; Stochastic Dominance;

Week 8 Mean Variance Portfolio Theory; Simple Construction; Pricing Models

Week 9 Linear Beta Pricing; CAPM

Week 10 APT; Linear Beta pricing with Inefficient Benchmarks

Week 11 State Preference Theory; The Term Structure of Interest Rates

Week 12 The Term Structure of Interest Rates; Informational Efficiency;

Week 13 Portfolio Performance; Agency and Information

Week 14 Multiperiod Models, Derivatives Pricing

Week 15 Multiperiod Models, Derivatives Pricing, Real Options

Week 16 Presentations

REQUIRED TEXTBOOK AND READINGS

Back, K., 2010, Asset Pricing and Portfolio Choice Theory, Oxford University Press. (B)
Copeland, T. E., J. F. Weston, and K. Shastri, 2005, Financial Theory and Corporate Policy, 4th
edition, Pearson Addison Wesley. (CWS)
Copeland, T. E., J. F. Weston, and K. Shastri, 2005, Financial Theory and Corporate Policy, 4th
edition, Student Solutions Manual, Pearson Addison Wesley.
Huang, C-F. and R. Litzenberger, 1988, Foundations for Financial Economics, NorthHolland,
New York. (HL)
Pennacchi, G., 2008, Theory of Asset Pricing, Pearson Addison Wesley. (P)
Additional readings will be assigned in class lectures.

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