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Notes

Theoretical Asset Pricing

A technical note for the theoretical asset pricing course, intended to serve as a reference for students in deriving models and developing intuition. I used it in my Yale review sessions for four years. It covers:

[1] Choice under uncertainty, Static portfolio choice
[2] CAPM, Arbitrage Pricing Theory, Factor models, Generized method of moments
[3] Stochastic discount factor, Risk netural measure
[4] Epstein-Zin model, Campbell-Shiller decomposition, Consumption-based asset pricing.
[5] Rare disaster model, Consumption-based asset pricing models with stochastic volatility