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
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.