FOUNDATIONS OF ASSET PRICING

These are my notes for a graduate course on asset pricing. Background that is useful but not essential is basic calculus and linear algebra, beginning graduate level microeconomic theory, beginning graduate level macroeconomic theory, rudimentary knowledge of portfolio theory, and working knowledge of the economics of risk and uncertainty.  On the whole, these notes start at a somewhat more basic level than the textbooks of Campbell, Lo, and MacKinlay (1997) and Cochrane (2001) and, I hope, provide a useful complement to these excellent texts.  One advantage of my notes is that all models, including the intertemporal asset pricing models, are covered in a discrete time setting that is technically less demanding and more intuitive than the continuous time approach.

Several of the models and approaches utilized in the notes below are developed by myself.  I want to raise this issue for two reasons:  1.  Beware of mistakes;  2.  Please do not use original results from these notes without proper reference.

The notes are downloadable below as PDF files.  If you would like answers to selected questions in the notes, please e-mail me.  Any comments or suggestions are appreciated.

 

Downloadable PDF Files -- Click to download. 


 

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