Modern Asset Pricing

Catalog description

Course covers: traditional asset pricing by deriving basic asset pricing model from representative agent model under the assumption of complete markets (Consumption based CAPM). Also discussed will be its empirical fit, the puzzles it raises and touch briefly on estimation using GMM. This general model will be applied to models used in practice: factor capital asset pricing model (CAPM), Fama-French 3-factor model, extensions to C-CAPM related to habit formation and Epstein-Zin recursive preferences, and incomplete markets.