FOUNDATIONS OF ASSET PRICING
These are my notes for the graduate course on
asset pricing in the financial economics sequence at West Virginia University.
Background that is useful but not essential is basic calculus and linear
algebra, beginning graduate level microeconomic theory, beginning graduate
level macroeconomic theory, rudimentary knowledge of portfolio theory, and
working knowledge of the economics of risk and uncertainty. On the whole,
these notes start at a somewhat more basic level than the textbooks of Campbell, Lo, and
MacKinlay (1997) and Cochrane (2001) and, I hope, provide a useful complement
to these excellent texts. One advantage of my notes is that all models,
including the intertemporal asset pricing models, are covered in a discrete
time setting that is technically less demanding and more intuitive than the
continuous time approach.
Several of the models and approaches utilized
in the notes below are developed by myself. I want to raise this issue
for two reasons: 1. Beware of mistakes; 2. Please do
not use original results from these notes without proper reference.
The notes are downloadable below as PDF
files. If you would like answers to selected questions in the notes,
please e-mail me. Any comments or suggestions are appreciated.
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Downloadable PDF
Files -- Click to download.
You need either Acrobat Reader 4.0 or earlier or 5.1 or later
for best results
[Oddly, some of the symbols fonts do not translate in the 5.0 version!]
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