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Professor André FARBER
Solvay Business School
Université Libre de Bruxelles
PhD Program
Microfoundations of Financial Economics
August 2005
This course will
taught over a short period of 5 days. The objective is to give an overview of
modern asset valuation.
Time being limited, I will skip technical details so as to give an overview
of the field.
Course outline
Excel tips
Slides and programs
Session 1.1: Empirical
challenges
Session 1.2: From Fisher to
Arrow-Debreu
Problem set: PS1
Excel file: COMAK
Matlab file: MAP (Modern Asset Pricing)
Session 2: General equilibrium under
uncertainty
Problem set: PS2
Excel file: GEMU (General Equilibrium
Model under Uncertainty)
Session 3: CAPM
Problem set: PS3
Excel file: CAPM
Excel file: Efficient
frontier calculation
Matlab file: Efficient frontier calculation
Session 4: Incomplete
markets
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