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Giovanni Walter Puopolo
The course covers several advanced topics in asset pricing, trading-off risks and return, and portfolio optimization. More precisely, students will first analyze two relevant extensions of the Capital Asset Pricing Model (CAPM) and learn how to determine the corresponding equilibrium in financial markets.
Next, they will learn how to estimate empirically the risk-return relationship predicted by the Capital Asset Pricing Model. Students will also analyze two pricing models alternative to the CAPM.
Read more
The course covers several advanced topics in asset pricing, trading-off risks and return, and portfolio optimization. More precisely, students will first analyze two relevant extensions of the Capital Asset Pricing Model (CAPM) and learn how to determine the corresponding equilibrium in financial markets.
Next, they will learn how to estimate empirically the risk-return relationship predicted by the Capital Asset Pricing Model. Students will also analyze two pricing models alternative to the CAPM.
Read more
The course covers several advanced topics in asset pricing, trading-off risks and return, and portfolio optimization. More precisely, students will first analyze two relevant extensions of the Capital Asset Pricing Model (CAPM) and learn how to determine the corresponding equilibrium in financial markets.
Next, they will learn how to estimate empirically the risk-return relationship predicted by the Capital Asset Pricing Model. Students will also analyze two pricing models alternative to the CAPM.
In the Arbitrage Pricing Theory, they will learn how to determine assets expected returns based on multiple risk factors and absence of arbitrage opportunities.
In the Consumption Capital Asset Pricing Model, instead, they will learn how to solve the investors' joint consumption/investment decision problem and how to compute the equilibrium asset prices and expected returns in a dynamic pure exchange economy.
Finally, the course concludes with a focus on the pricing of fixed income instruments.
Register for this course and see more details by visiting:
OpenCourser.com/course/i4j12o/asset
What's inside
Syllabus
Week 1 - Capital Asset Pricing Model (CAPM) Extensions
By the end of this week you will learn: how to determine the equilibrium in financial markets under two distinct scenarios within the Capital Asset Pricing Model framework. First, you'll explore equilibrium determination when there is an absence of a riskless security. Second, you'll delve into the complexities of equilibrium determination when investors' preferences are dynamic, and stock returns follow a normal distribution.
Read more
Syllabus
Week 1 - Capital Asset Pricing Model (CAPM) Extensions
By the end of this week you will learn: how to determine the equilibrium in financial markets under two distinct scenarios within the Capital Asset Pricing Model framework. First, you'll explore equilibrium determination when there is an absence of a riskless security. Second, you'll delve into the complexities of equilibrium determination when investors' preferences are dynamic, and stock returns follow a normal distribution.
Read more
Week 2 - Testing the Capital Asset Pricing Model (CAPM)
By the end of this week you will learn how to estimate empirically the risk-return relationship predicted by the Capital Asset Pricing Model
Week 3 - The Arbitrage Pricing Theory (APT)
By the end of this week you will learn how to determine assets expected returns based on multiple risk factors and absence of arbitrage opportunities
Week 4 - The Consumption Capital Asset Pricing Model (CCAPM)
By the end of this week, you will acquire a comprehensive understanding of determining equilibrium in a collaborative exchange economy, where agents make joint decisions on consumption and financial asset investment. Additionally, you will learn how to compute equilibrium asset prices and expected returns.
Week 5 - Bond Pricing
By the end of this week, you will gain a comprehensive knowledge of fixed income securities, including an understanding of their diverse characteristics, and the ability to assess their pricing and implied returns
Good to know
Good to know
Know what's good ,
what to watch for , and
possible dealbreakers
Complex topics include CAPM (Capital Asset Pricing Model) extensions, Arbitrage Pricing Theory (APT), and Consumption Capital Asset Pricing Model (CCAPM)
Instructors Giovanni Walter Puopolo are pioneers in asset pricing
Emphasizes the relationship between risks and return, crucial for financial decision-making
Provides empirical methods for testing the Capital Asset Pricing Model (CAPM)
Delves into advanced topics like the Consumption Capital Asset Pricing Model (CCAPM), catering to experienced learners
Course requires a strong foundation in finance and mathematics
Save this course
Save Asset Pricing Models to your list so you can find it easily later:
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Activities
Be better prepared
before
your course. Deepen your understanding
during
and
after
it. Supplement your coursework and achieve mastery of the topics covered
in Asset Pricing Models with these
activities:
Review 'Asset Pricing' by Stephen Penman
Show steps
Reading 'Asset Pricing' provides additional context and insights into principles covered in the course.
View
Accounting for Risk (Foundations and Trends(r)...
on Amazon
Show steps
-
Purchase or borrow the book
-
Read each chapter thoroughly
-
Take notes or summarize key points
Calculate correlation coefficients for assets
Show steps
Developing proficiency in calculating correlation coefficients prepares learners for the exercises and assignments regarding diversification taught later in the course.
Browse courses on
Diversification
Show steps
-
Gather asset return data
-
Use a calculator or statistical software
Review previously taken courses on investment and risk
Show steps
Reviewing foundational coursework on investment and risk can establish a solid base of knowledge on which to apply the topics in this course.
Browse courses on
Risk Management
Show steps
-
Identify courses taken in investment and risk
-
Review course notes and assignments
-
Redo practice questions
Four other activities
Expand to see all activities and additional details
Show all seven activities
Explore interactive tutorials on the Black-Scholes model
Show steps
Interactive tutorials provide a visually engaging and interactive way to learn about the intricacies of the Black-Scholes model, fostering a deeper understanding of options pricing.
Browse courses on
Options Pricing
Show steps
-
Search for reputable online tutorials
-
Follow the tutorials step-by-step
-
Attempt practice exercises
Create diversified portfolios with varying risk tolerance
Show steps
Hands-on practice in creating diversified portfolios helps students grasp the concepts and apply them to real-world scenarios, enhancing their understanding of risk management and portfolio optimization.
Browse courses on
Risk Management
Show steps
-
Gather data on asset returns and risk measures
-
Set up scenarios with different risk tolerance levels
-
Construct portfolios based on each scenario
-
Evaluate and compare portfolio performance
Develop a presentation on advanced topics in asset pricing
Show steps
Creating a presentation on advanced topics encourages learners to dive deeper into the complexities of asset pricing, enhancing their grasp of the concepts and their ability to communicate them effectively.
Browse courses on
Asset Pricing
Show steps
-
Choose a specific topic
-
Research and gather information
-
Develop the presentation structure
-
Create visual aids and supporting materials
-
Practice presenting
Contribute to open-source projects related to financial modeling
Show steps
Hands-on experience contributing to open-source projects in financial modeling provides a practical application of the theories learned, fostering a more profound understanding and industry-relevant skills.
Browse courses on
Financial Modeling
Show steps
-
Identify relevant projects
-
Contact project maintainers
-
Review the project codebase
-
Submit pull requests
Review 'Asset Pricing' by Stephen Penman
Show steps
Reading 'Asset Pricing' provides additional context and insights into principles covered in the course.
View
Accounting for Risk (Foundations and Trends(r)...
on Amazon
Show steps
Show steps
Show steps
- Purchase or borrow the book
- Read each chapter thoroughly
- Take notes or summarize key points
Calculate correlation coefficients for assets
Show steps
Developing proficiency in calculating correlation coefficients prepares learners for the exercises and assignments regarding diversification taught later in the course.
Browse courses on
Diversification
Show steps
Show steps
Show steps
- Gather asset return data
- Use a calculator or statistical software
Review previously taken courses on investment and risk
Show steps
Reviewing foundational coursework on investment and risk can establish a solid base of knowledge on which to apply the topics in this course.
Browse courses on
Risk Management
Show steps
Show steps
Show steps
- Identify courses taken in investment and risk
- Review course notes and assignments
- Redo practice questions
Four other activities
Expand to see all activities and additional details
Show all seven activities
Explore interactive tutorials on the Black-Scholes model
Show steps
Interactive tutorials provide a visually engaging and interactive way to learn about the intricacies of the Black-Scholes model, fostering a deeper understanding of options pricing.
Browse courses on
Options Pricing
Show steps
Show steps
Show steps
- Search for reputable online tutorials
- Follow the tutorials step-by-step
- Attempt practice exercises
Create diversified portfolios with varying risk tolerance
Show steps
Hands-on practice in creating diversified portfolios helps students grasp the concepts and apply them to real-world scenarios, enhancing their understanding of risk management and portfolio optimization.
Browse courses on
Risk Management
Show steps
Show steps
Show steps
- Gather data on asset returns and risk measures
- Set up scenarios with different risk tolerance levels
- Construct portfolios based on each scenario
- Evaluate and compare portfolio performance
Develop a presentation on advanced topics in asset pricing
Show steps
Creating a presentation on advanced topics encourages learners to dive deeper into the complexities of asset pricing, enhancing their grasp of the concepts and their ability to communicate them effectively.
Browse courses on
Asset Pricing
Show steps
Show steps
Show steps
- Choose a specific topic
- Research and gather information
- Develop the presentation structure
- Create visual aids and supporting materials
- Practice presenting
Contribute to open-source projects related to financial modeling
Show steps
Hands-on experience contributing to open-source projects in financial modeling provides a practical application of the theories learned, fostering a more profound understanding and industry-relevant skills.
Browse courses on
Financial Modeling
Show steps
Show steps
Show steps
- Identify relevant projects
- Contact project maintainers
- Review the project codebase
- Submit pull requests
Career center
Learners who complete Asset Pricing Models will develop knowledge and skills
that may be useful to these careers:
Financial Analyst
Financial Analyst
To maximize profit and achieve financial goals, Financial Analysts must be able to understand complex pricing models. Asset Pricing Models is a perfectly suited course to build a foundation for success in this role. By the end of the course, analysts will have learned different advanced topics in asset pricing, trading-off risks and returns, and portfolio optimization. The course also covers Arbitrage Pricing Theory, Consumption Capital Asset Pricing Model, and bond pricing. This course can help you get a foot in the door as a Financial Analyst or help you become a more effective contributor to your current team.
Portfolio Manager
Portfolio Manager
The Asset Pricing Models course provides a perfect foundation to Portfolio Managers, who rely on a deep understanding of asset pricing models to make informed investment decisions. The course covers several advanced topics in asset pricing, trading-off risks and return, and portfolio optimization. It will also help you learn to determine assets expected returns based on multiple risk factors and absence of arbitrage opportunities.
Risk Manager
Risk Manager
An understanding of asset pricing models is a must for Risk Managers to succeed in their roles. This course will help you build a strong foundation in this area. The course covers several advanced topics in asset pricing, trading-off risks and return, and portfolio optimization.
Investment Banker
Investment Banker
Investment Bankers use their knowledge of asset pricing models to help clients make sound financial decisions. By taking this course, you can gain a competitive edge in the field. The course covers several advanced topics in asset pricing, trading-off risks and return, and portfolio optimization.
Quantitative Analyst
Quantitative Analyst
For Quantitative Analysts, the Asset Pricing Models course is essential. The course provides in-depth knowledge of advanced topics in asset pricing, trading-off risks and return, and portfolio optimization.
Financial Planner
Financial Planner
Financial Planners can benefit greatly from the Asset Pricing Models course. This course helps develop the skills needed to make sound financial plans for clients, including an understanding of asset pricing models and portfolio optimization.
Actuary
Actuary
Actuaries may find the Asset Pricing Models course helpful. The course will provide you with a better understanding of asset pricing models and portfolio optimization.
Economist
Economist
Economists may find the Asset Pricing Models course helpful. The course will help you build a foundation in asset pricing models, trading-off risks and return, and portfolio optimization.
Data Scientist
Data Scientist
Data Scientists may find the Asset Pricing Models course helpful, as it will provide a better understanding of asset pricing models and portfolio optimization.
Consultant
Consultant
Consultants may find the Asset Pricing Models course helpful in their work.
Professor
Professor
Professors may find the Asset Pricing Models course helpful in their research and teaching.
Researcher
Researcher
Researchers may find the Asset Pricing Models course helpful in their work.
For more career information including salaries, visit:
OpenCourser.com/course/i4j12o/asset
Reading list
We've selected 14 books
that we think will supplement your
learning. Use these to
develop background knowledge, enrich your coursework, and gain a
deeper understanding of the topics covered in
Asset Pricing Models.
Comprehensive guide to fixed income securities, covering various types of bonds, their pricing, and risk management techniques. It serves as a valuable reference for professionals in the fixed income market.
Provides a thorough examination of the Arbitrage Pricing Theory (APT), explaining its theoretical underpinnings and empirical applications. It is particularly useful for understanding the use of multiple risk factors in asset pricing models.
Focuses on the Consumption Capital Asset Pricing Model (CCAPM), which incorporates consumption into the asset pricing framework. It provides insights into the relationship between consumption, investment, and asset prices.
Covers advanced topics in corporate finance, including capital budgeting, capital structure, and valuation. It provides a solid foundation for understanding the financial implications of investment decisions.
Provides a comprehensive overview of risk management in financial institutions, covering various risk types, measurement techniques, and management strategies. It serves as a valuable reference for financial professionals seeking to enhance their understanding of risk management.
Classic textbook in the field of investments, covering a wide range of topics, including asset classes, portfolio management, and investment analysis. It is suitable for both students and practitioners seeking a comprehensive introduction to investments.
Classic guide to value investing, providing principles and strategies for long-term investment success. It is suitable for both beginners and experienced investors seeking to improve their investment decision-making.
Comprehensive guide to security analysis, covering both fundamental and technical analysis techniques. It is suitable for investors and analysts seeking to develop a deeper understanding of investment analysis.
Provides a comprehensive overview of fixed income securities, covering their characteristics, valuation, and risk management. It is suitable for investors and analysts seeking to expand their knowledge of fixed income markets.
Provides a theoretical framework for investment valuation, covering concepts such as risk, return, and diversification. It is suitable for advanced students and researchers seeking to deepen their understanding of investment theory.
Save
Provides a historical perspective on the evolution of financial economics, tracing its development from its origins to its current state. It is suitable for researchers and practitioners seeking to understand the intellectual foundations of financial economics.
Provides a rigorous introduction to asset pricing theory, covering topics such as expected utility theory, equilibrium models, and empirical tests. It is suitable for advanced students and researchers seeking to develop a deep understanding of asset pricing theory.
Provides a comprehensive introduction to the mathematical and economic foundations of financial markets, covering topics such as probability theory, stochastic processes, and financial derivatives. It is suitable for advanced students and researchers seeking to develop a strong foundation in financial mathematics.
Provides a comprehensive overview of financial econometrics, covering topics such as time series analysis, regression models, and forecasting techniques. It is suitable for advanced students and researchers seeking to develop a strong foundation in financial econometrics.
For more information about how these books relate to this course, visit:
OpenCourser.com/course/i4j12o/asset
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Level
Intermediate
Via
Coursera
Institution
Università di Napoli Federico II
Instructor
Giovanni Walter Puopolo
Language
English
Good to know
Complex topics include CAPM (Capital Asset Pricing Model) extensions, Arbitrage Pricing Theory (APT), and Consumption Capital Asset Pricing Model (CCAPM)
Instructors Giovanni Walter Puopolo are pioneers in asset pricing
Emphasizes the relationship between risks and return, crucial for financial decision-making
Provides empirical methods for testing the Capital Asset Pricing Model (CAPM)
Delves into advanced topics like the Consumption Capital Asset Pricing Model (CCAPM), catering to experienced learners
Course requires a strong foundation in finance and mathematics
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