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FIN 802: Advanced Investment Theory

Description
Develops investment theory through the financial economics framework of Von-Neumann Morgenstern utility. This allows exploration of risk aversion, stochastic dominance, and portfolio optimization. MPT and CAPM are derived. Arrow-Debreu contingent claims and option pricing theory are addressed. Additional topics include risk-neutral valuation, stochastic discount factors, and the consumption CAPM.
Credit units
3
Term description
1(1.5L-1.5S)
College
Graduate Studies and Research
Department
Finance