The course deals with Dynamic Asset Pricing Theory (DAPT)
The aim of the course is to analyse asset pricing within a dynamic
general equilibrium model. In particular, it adopts the stochastic discount
factor approach in modelling the pricing of bonds and stocks. It also focuses
on the consumption-CAPM theory and stresses its difficulties in matching the
empirical evidence regarding time-series properties of risk premia. Finally,
the course introduces recent advances in modelling the link between
macroeconomic variables and asset returns.
- Professor: PATRIZIO TIRELLI