資產評價理論
Asset Pricing Theory
| 節 | 週三 |
|---|---|
7 15:30–16:20 | 資產評價理論 M101（光復） 3 節連堂 |
8 16:30–17:20 | |
9 17:30–18:20 |
* 根據陽明交大上課時間表所列
This course covers theories of asset pricing that are foundation of current theoretical and empirical research in financial economics. It includes models of individual consumption and portfolio choice and their implications for equilibrium asset prices. Contingent claims valuation techniques based on the absence of arbitrage are also presented. In addition, recent models of utility such as time-inseparable or behavioral biases are considered here.
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Class Participation (50%), Final Report (50%).
Portfolio Choice and Asset Pricing
1.CAPM, Arbitrage, and Linear Factor Models 2.Multi-period Market Equilibrium
- 講授：
- 100%
Contingent Claims Pricing
1.Derivative Pricing 2.Dynamic Hedging and PDE Valuation 3.Arbitrage, Martingales, and Pricing Kernels
- 講授：
- 100%
Asset Pricing in Continuous Time
1.Continuous-Time Consumption and Portfolio Choice 2.Time-Imseparable Utility
- 講授：
- 100%
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction 2026-09-09(三) |
| 第 2 週 | Expected Utility, Risk Aversion ,and Mean-Variance Analysis 2026-09-16(三) |
| 第 3 週 | CAPM, Arbitrage, Linear Factor Models and Mean-Variance Analysis 2026-09-23(三) |
| 第 4 週 | Consumption-Savings Decisions and State Pricing 2026-09-30(三) |
| 第 5 週 | A Multi-period Discrete-Time Model of Consumption and Portfolio Choice 2026-10-07(三) |
| 第 6 週 | Multi-period Market Equilibrium 2026-10-14(三) |
| 第 7 週 | Multi-period Market Equilibrium 2026-10-21(三) |
| 第 8 週 | Basics of Derivative Pricing and Essentials of Diffusion Processes 2026-10-28(三) |
| 第 9 週 | Dynamic Hedging and PDE Valuation 2026-11-04(三) |
| 第 10 週 | Arbitrage, Martingales, and Pricing Kernels 2026-11-11(三) |
| 第 11 週 | Mixing Diffusion and Jump Processes 2026-11-18(三) |
| 第 12 週 | Continuous-Time Consumption and Portfolio Choice 2026-11-25(三) |
| 第 13 週 | Equilibrium Asset Returns 2026-12-02(三) |
| 第 14 週 | Time-Inseparable Utility 2026-12-09(三) |
| 第 15 週 | Behavioral Finance and Asset Pricing 2026-12-16(三) |
| 第 16 週 | Final Report Presentation 2026-12-23(三) |
Selected papers Reference book: The Theory of Asset Pricing, by George Pennacchi.
- 地點
- Room 411, Management Building I
- 時間
- (三)X(四)X
- 聯絡方式
- Appointment by Email jiahau@faculty.nctu.edu.tw 03-5712121#57078