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Asset Pricing Fundamentals

kurs ist nicht verfügbar in Deutsch (Deutschland)

Wir übersetzen es in weitere Sprachen.

Asset Pricing Fundamentals

Dieser Kurs ist Teil von Spezialisierung „Finance “

Dozent: Lorenzo Pandolfi

Bei enthalten

Mehr erfahren

6 Module

Verschaffen Sie sich einen Einblick in ein Thema und lernen Sie die Grundlagen.

Stufe Mittel

Empfohlene Erfahrung

1 Woche zu vervollständigen

unter 10 Stunden pro Woche

Flexibler Zeitplan

In Ihrem eigenen Lerntempo lernen

6 Module

Verschaffen Sie sich einen Einblick in ein Thema und lernen Sie die Grundlagen.

Stufe Mittel

Empfohlene Erfahrung

1 Woche zu vervollständigen

unter 10 Stunden pro Woche

Flexibler Zeitplan

In Ihrem eigenen Lerntempo lernen

Was Sie lernen werden

Understand the principles underlying investors' portfolio choices and the criteria that determine the prices of financial instruments
Understand the main functions performed by the financial markets
Analyzing how the introduction of the financial markets influences the saving choices of households
Analyzing how the introduction of the financial markets influences the investment choices of businesses in an economy without uncertainty

Kompetenzen, die Sie erwerben

Kategorie: Probability Distribution
Kategorie: Equities
Kategorie: Economics
Kategorie: Financial Systems
Kategorie: Financial Market
Kategorie: Correlation Analysis
Kategorie: Securities (Finance)
Kategorie: Portfolio Management
Kategorie: Risk Modeling
Kategorie: Investments
Kategorie: Finance
Kategorie: Decision Making
Kategorie: Risk Analysis
Kategorie: Capital Markets
Kategorie: Investment Management
Kategorie: Portfolio Risk

Wichtige Details

Zertifikat zur Vorlage

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Bewertungen

20 Aufgaben

Unterrichtet in Englisch

91%

of learners achieved a positive career outcome

Erfahren Sie, wie Mitarbeiter führender Unternehmen gefragte Kompetenzen erwerben.

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Dieser Kurs ist Teil der Spezialisierung Spezialisierung „Finance “

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Erwerben Sie ein Berufszertifikat zur Vorlage

In diesem Kurs gibt es 6 Module

The course Asset Pricing I will provide students with the main theoretical and analytical tools to study and understand the economics of financial markets and portfolio choices. After learning the different structure that financial markets can take and the key functions that these perform, learners will analyze how financial markets affect saving and investment decisions in an economy with no uncertainty.

Then, learners will be introduced to expected utility theory, which will provide them with the key analytical tools to study choices under uncertainty. These tools will then be used to model and analyze portfolio choices: first, learners will study the so-called canonical portfolio problem, that is, the problem of an investor who has to choose how to allocate their wealth between a safe and a risky asset; then, they will study portfolio choices that involve multiple risky assets. The analysis of portfolio choices will allow learners to characterize and determine investors’ optimal demand for risky assets, which will lay the foundation for the analysis of the Capital Asset Pricing Model, a milestone for asset pricing and financial economics. The analysis of the CAPM will finally teach learners how to characterize equilibrium returns and asset prices in financial markets, also understanding the key forces that govern these key variables.

Moduldetails

By the end of this week, you will learn the various structures financial markets can adopt and comprehend their primary functions. You'll also be able to assess how the establishment of financial markets influences households' choices regarding saving and borrowing, along with companies' decisions regarding investment, all within an economy devoid of uncertainty.

Das ist alles enthalten

31 Videos4 Lektüren3 Aufgaben

31 VideosInsgesamt 55 Minuten

Welcome to the course!2 Minuten
Introduction to Financial Markets2 Minuten
Structure of Financial Markets3 Minuten
Asset classes2 Minuten
Presence or absence of intermediaries2 Minuten
Functions of financial markets2 Minuten
Intemporal reallocation of resources1 Minute
Efficient allocation of investment2 Minuten
Risk pooling and risk sharing1 Minute
Information transmission2 Minuten
Introduction to consumption and investment in autarky1 Minute
Assumptions3 Minuten
Robinson Crusoe's problem1 Minute
The model solution3 Minuten
Heterogeneous preferences2 Minuten
Heterogeneous endowments1 Minute
Heterogeneous technologies2 Minuten
Assumptions2 Minuten
The problem of households2 Minuten
The model solution2 Minuten
The equilibrium interest rate3 Minuten
Consumption and investment with financial markets and production2 Minuten
The problem of households1 Minute
The optimal saving of households2 Minuten
The problem of firms1 Minute
The equilibrium of the model2 Minuten
Comparison with the autarky case2 Minuten
Fisher separation theorem2 Minuten
Imperfect capital markets2 Minuten
Transaction costs2 Minuten
Borrowing constraints1 Minute

4 LektürenInsgesamt 19 Minuten

Functions of financial markets5 Minuten
Consumption and investment in autarky3 Minuten
Consumption and investment with financial markets10 Minuten
To sum up1 Minute

3 AufgabenInsgesamt 45 Minuten

Functions of financial markets30 Minuten
Consumption and investment in autarky10 Minuten
Consumption and investment with financial markets5 Minuten

This week you will learn the theoretical principles that underlie individual choices under uncertainty, that is, in the presence of risk, in light of expected utility theory. Additionally, you will examine how to characterize agents' attitudes towards risk and the primary criteria for comparing risky prospects. These criteria include first- and second-order stochastic dominance, as well as the mean-variance criterion.

Das ist alles enthalten

21 Videos4 Lektüren3 Aufgaben

21 VideosInsgesamt 60 Minuten

Introduction3 Minuten
What is a lottery?2 Minuten
Risk aversion1 Minute
Compound lotteries3 Minuten
Expected utility2 Minuten
Expected utility: an example2 Minuten
Axioms2 Minuten
Attitude towards risk2 Minuten
Risk aversion2 Minuten
Risk neutrality2 Minuten
Risk loving1 Minute
Measuring risk aversion2 Minuten
Example8 Minuten
Hara utility2 Minuten
Markowitz risk premium4 Minuten
Comparing risks2 Minuten
First Order Stochastic Dominance2 Minuten
FOSD with discrete distributions4 Minuten
Second Order Stochastic Dominance9 Minuten
Mean-variance criterion2 Minuten
Expected utility and mean-variance criterion4 Minuten

4 LektürenInsgesamt 31 Minuten

Expected utility10 Minuten
Attitudes towards risk10 Minuten
Comparing risks10 Minuten
To sum up1 Minute

3 AufgabenInsgesamt 50 Minuten

Choice under uncertainty30 Minuten
Expected utility10 Minuten
Attitudes towards risk10 Minuten

By the end of this week you will understand how to analyze contingent claim markets and the risk neutral evaluation.

Das ist alles enthalten

14 Videos4 Lektüren3 Aufgaben

14 VideosInsgesamt 59 Minuten

The market for contingent claims6 Minuten
Law of one price3 Minuten
Arbitrage9 Minuten
How to construct an arbitrage portfolio6 Minuten
LOP and Arbitrage5 Minuten
No arbitrage and the price of Arrow securities2 Minuten
No arbitrage and optimal portfolios3 Minuten
State prices4 Minuten
Determining state prices3 Minuten
Risk-free assets3 Minuten
Risk-neutral probabilties2 Minuten
Determining asset prices3 Minuten
Pricing a risky asset with state prices6 Minuten
Example6 Minuten

4 LektürenInsgesamt 40 Minuten

Law of one price and arbitrage10 Minuten
Complete markets and state prices10 Minuten
From state prices to asset prices10 Minuten
To sum up10 Minuten

3 AufgabenInsgesamt 50 Minuten

Contingent claim markets30 Minuten
Law of one price and arbitrage15 Minuten
Complete markets and state prices5 Minuten

By the end of this week you will learn the principles underlying investors' portfolio choice and to analyze, in particular, how stock market participation depends on individual preferences and stocks' fundamentals (expected return and riskiness).

Das ist alles enthalten

15 Videos4 Lektüren3 Aufgaben

15 VideosInsgesamt 50 Minuten

Introduction to Portfolio choices2 Minuten
Hypotheses3 Minuten
The investor's problem2 Minuten
The demand for stocks2 Minuten
An example with log utility7 Minuten
What if the investor is risk-neutral?3 Minuten
The partecipation principle2 Minuten
Example7 Minuten
An example with power utility8 Minuten
The partecipation puzzle3 Minuten
Risk aversion and the demand for stocks2 Minuten
Wealth and the demand for stocks3 Minuten
Expected return, risk and the demand for stocks (part 1)2 Minuten
Expected return, risk and the demand for stocks (part 2)2 Minuten
Special case of increasing absolute risk aversion3 Minuten

4 LektürenInsgesamt 40 Minuten

The canonical portfolio problem10 Minuten
The participation principle10 Minuten
Preferences, stock characteristics, and stock demand10 Minuten
To sum up10 Minuten

3 AufgabenInsgesamt 40 Minuten

Canonical portfolio problem30 Minuten
The canonical portfolio problem5 Minuten
The participation principle5 Minuten

By the end of this week you will be able to identify the set of efficient portfolios in an economy with many risky assets and to analyze, in this economy, the portfolio choices of investors with mean-variance preferences, so as to characterize stocks' aggregate demand.

Das ist alles enthalten

16 Videos4 Lektüren4 Aufgaben

16 VideosInsgesamt 72 Minuten

Motivation4 Minuten
Properties of expectation, variance and covariance operators6 Minuten
Indifferent curves with quadratic utility7 Minuten
Indifference curves with CARA and normally distributed payoffs3 Minuten
Two risky assets4 Minuten
Case 1: perfectly correlated returns6 Minuten
Case 2: inversely correlated returns5 Minuten
The general case6 Minuten
Driving the shape of the frontier2 Minuten
The frontier with N risky assets5 Minuten
The frontier with a riskless asset5 Minuten
Optimal portfolios with only risky assets8 Minuten
Optimal portfolios with a riskless asset3 Minuten
Implications3 Minuten
Sharpe ratio2 Minuten
The market portfolio3 Minuten

4 LektürenInsgesamt 21 Minuten

Mean-variance preferences5 Minuten
Efficient frontier10 Minuten
Mean-variance portfolio choice5 Minuten
To sum up1 Minute

4 AufgabenInsgesamt 65 Minuten

Mean-Variance analysis 30 Minuten
Mean-variance preferences10 Minuten
Efficient frontier15 Minuten
Mean-variance portfolio choice10 Minuten

By the end of this week, you will learn the concept of equilibrium in financial markets. You'll apply this understanding to an economy featuring numerous risky assets and a riskless asset, all within a framework of risk-averse investors with mean-variance preferences. Additionally, you'll gain the ability to calculate equilibrium prices and expected excess returns. Furthermore, you'll recognize that these values are contingent upon the covariance risk of assets, which is quantified by asset betas.