The
MF 866: Ph.D. Seminar in Asset Pricing
Theory, Part 1
Spring 2009
Monday, 11:00 – 1:30
Location Fulton 310
Office Hours: Monday 1:30 – 2:30
Course Web Page: http://www2.bc.edu/~chapmadb/mf866.htm
Professor: David A. Chapman
Fulton 326B
Phone: (617) 552-3989
E-mail: david.chapman@bc.edu
Web: http://www2.bc.edu/~chapmadb
Course
Description
This portion of the asset pricing seminar provides an introduction to discrete-time portfolio choice and asset pricing theory. The topics include: implications of the absence of arbitrage, optimal consumption/portfolio choice problems, CAPM, APT, and CCAPM models
Texts
The required text for the class is:
Back, Kerry, 2008, Asset Pricing and Portfolio Choice Theory. Oxford University Press (forthcoming). [Note: This is a manuscript still in preparation, but Professor Back has provided us with the current version for use this semester.]
Additional texts that you might want to own (or consult) include:
[1]
Leroy, Stephen F., and Jan Werner, 2001, Principles of Financial Economics.
[2]
Cochrane, John H., 2005, Asset Pricing (Revised Edition). Princeton:
[3]
Campbell, John Y., Andrew W. Lo, and A. Craig
MacKinlay, 1996, The Econometrics of
Financial Markets. Princeton:
[4] Pennacchi, George, 2008, Theory of Asset Pricing, Addison-Wesley.
[5]
Ingersoll, Jonathan E., Jr, 1987, Theory of Financial Decision Making.
[6]
Huang, Chi-Fu, and Robert H. Litzenberger, 1988, Foundations for Financial Economics.
Assignments
and Grading
Your course grade for this portion of the seminar will be constructed as follows:
Exam: 60%
Homework: 30%
Class Participation: 10%
Course Communication
Outside of class, the primary mechanism for communicating important course related material will be the course web page, located at http://www2.bc.edu/~chapmadb/mf866.htm. In addition, there will be course announcements and general interest documents on the main page. Copyright protected and other potentially sensitive documents will be available on a restricted access version of the web page. Students registered for the course will be given usernames and passwords that allow access to the restricted material. Office hours are posted on my door (and at the top of this syllabus), and I will always be available to talk to you at that time. I can also meet you by appointment, which can be arranged either before or after class, by e-mail, or by phone.
The current syllabus for the course can be accessed [here]. [Updated: 01-06-2009, @ 11:30 am]
The restricted access portion of the course web page can be accessed [here]. [Updated: 01-06-2009, @ 11:30 am]