Asset Pricing and Portfolio Optimization

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Description

This lecture covers mean-variance efficiency, market completeness, arbitrage opportunities, optimal portfolio weights, mean-variance efficient portfolios, pricing kernels, martingales, self-financing strategies, and the Hansen-Jagannathan bounds in the context of asset pricing and portfolio optimization.

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Economics

Microeconomics: Financial economics

Related lectures (32)

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Instructor

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Velit pariatur labore proident id in tempor Lorem qui sint culpa eiusmod. Consequat laborum culpa ad id qui et cillum ut mollit do enim esse. Et proident labore eiusmod irure qui enim.

Ontological neighbourhood

Economics

Microeconomics: Financial economics

Related lectures (32)

Asset Pricing: Theory and Applications

Series covers asset pricing theories, mean-variance optimization, state prices, and risk-neutral measures.

Investments: Portfolio Selection and Asset Pricing

Covers portfolio selection, asset pricing, market efficiency, and risk management in investments.

Factor Models and CAPM

Covers the Capital Asset Pricing Model, estimating betas, empirical evidence on returns versus beta, short-sale constraints, and optimal portfolio choice.

Factor Models in Finance

Covers factor models, portfolio choice, anomalies, and mutual fund performance analysis.

Asset Pricing Theory: Mean Variance Analysis

Explores mean variance analysis, CAPM, risk aversion, and Sharpe ratio in asset pricing.