Dynamic Arbitrage: Asset Pricing

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Related lectures (31)

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Asset Pricing: Theory and Applications

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

Arbitrage in Multiperiod Models

Explores arbitrage in multiperiod models, covering dynamic trading, absence of arbitrage, trading strategies, discounted prices, and martingales.

Asset Pricing and Portfolio Optimization

Covers mean-variance efficiency, market completeness, and optimal portfolio weights in asset pricing and portfolio optimization.

Asset Pricing: Valuation and Arbitrage

Explores the fundamental theorem of asset pricing and the concept of state prices and risk-neutral measures.

Equilibrium State Prices Determination

Explains the determination of equilibrium state prices in asset pricing through consumption market clearing and budget constraints.

Asset Pricing: Fundamental Theorems

Covers the fundamental theorems of asset pricing, including EMM, self-financing strategies, risk-neutral pricing, and completeness of markets.

Multiperiod Valuation and Hedging

Explores arbitrage, martingale measures, and market completeness in multiperiod models, focusing on pricing and hedging strategies.

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.

Asset Pricing Theory: Dynamic Arbitrage Pricing

Covers the first theorem of asset pricing, self-financing portfolios, replication, Kolmogorov equations, and pricing strategies.

Mean-Variance Portfolio Theory

Explores mean-variance efficient portfolios, factor models, and market efficiency in investment management.