General Information

The main goal of the lecture "Advanced Asset Pricing" is to introduce students to the theoretical foundations of macro-finance and asset pricing.

Topics covered

1) Overview of asset pricing topics, risk aversion and risk premium
2) Stochastic discount factor (SDF)
3) Mean-variance and beta pricing
4) Contingent claims and discount factors
5) Factor pricing
6) Empirical asset pricing methodologies

Textbook

John Cochrane:  Asset Pricing (Princeton, NJ: Princeton University Press; current edition)

Assessment

Written exam at the end of the semester (60 minutes).