Consumption-based asset pricing. Stochastic discount factors. Capital Asset Pricing Model (CAPM). Arbitrage pricing theory (APT). Forecasting return and risk. Practical portfolio optimisation: costs and constraints, Robust techniques for estimation and portfolio management.

- Lecturer: Alvaro Cartea
- Lecturer: Daniel Jones

Course Term: Hilary

Course Lecture Information: 16 lectures

Course Overview:

Consumption-based asset pricing. Stochastic discount factors. Capital Asset Pricing Model (CAPM). Arbitrage pricing theory (APT). Forecasting return and risk. Practical portfolio optimisation: costs and constraints, Robust techniques for estimation and portfolio management.