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
General Prerequisites:
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.
Learning Outcomes:
Course Synopsis: