This course will focus on asset pricing. The content includes utility function for risk averse , neutral, and risk lovering investors. Then we come to the topic of portfolio optimization and utility maximization. Further, we will come across the topic of empirical analysis and efficient market hypothesis. Partial equilibrium theory also will be covered for this course. This course will focus on asset pricing. The content includes utility function for risk averse, neutral, and risk lovering investors. Then we come to the topic of portfolio optimization and utility maximization. Further, we will come across the topic of empirical analysis and efficient market hypothesis. Partial equilibrium theory also will be covered for this course.
本課程將以資產訂價為主軸，來探討避險者，風險中立者及風險愛好者的效用函數，對於資產價格的影響。探討的資產包括股票，債券，期貨及選擇權。另外，我們將來看兩個期間，在不同的投資及消費情形下之效用函數，來導出選擇權的價格。再者，本課程也將研討二個或三個資產之投資組合的風險與報酬關係。
This course will focus on asset pricing to explore the impact of the utility functions of risk averters, risk neutrals and risk enthusiasts on asset prices. Assets discussed include stocks, bonds, futures and options. In addition, we will look at the utility function under different investment and consumption situations in two periods to derive the price of the option. Furthermore, this course will also examine the risk-return relationship of a two- or three-asset portfolio.
Cochrane John A., Asset Pricing, 2005.
Cuthbertson K., Nitzsche D. Quantitative Financial Economics.
Hull John, C. Options, Futures and Other Derivatives, 8th Edition, 2014.
Cochrane John A., Asset Pricing, 2005.
Cuthbertson K., Nitzsche D. Quantitative Financial Economics.
Hull John, C. Options, Futures and Other Derivatives, 8th Edition, 2014.
| 評分項目 Grading Method | 配分比例 Grading percentage | 說明 Description |
|---|---|---|
| Mid-Term ExamMid-Term Exam mid-term exam |
50 | |
| Final examFinal exam final exam |
50 |
