Includes topics such as:
Capital asset pricing model (CAPM) and its drawbacks, state pricing, stochastic discount factor, utility theory and risk aversion, consumption-based model, beta representation, ICAPM, Arbitrage pricing theory, regression-based tests of linear factor models, portfolio sorts, anomalies, multi-factor explanations, the cross-section of stock returns, time-series predictability of stock returns.
Capital asset pricing model (CAPM) and its drawbacks, state pricing, stochastic discount factor, utility theory and risk aversion, consumption-based model, beta representation, ICAPM, Arbitrage pricing theory, regression-based tests of linear factor models, portfolio sorts, anomalies, multi-factor explanations, the cross-section of stock returns, time-series predictability of stock returns.
- Opettaja: Elias Oikarinen