Lecture notes

General topics

• Computer Tools for finance
• Using R in finance
• Writing in business settings
• Linear Algebra

• Risk premium in Norway

• Equity portfolio performance

• Graphical illustrations for empirical finance
• Implementing the Black Jensen Scholes asset pricing tests
• Implementing the Fama Macbeth asset pricing tests
• Implementing the Gibbons Ross Shanken (1989) test
• GMM estimation of CAPM
• Event studies

• Liquidity estimators

This is lecture notes for a PhD level financial theory course, in theorem-proof form. It summarizes many of the key results in finance.

The lectures do not include the proofs. Those are only available to students when I teach this, but I do give reference to sources.

• Expected utility and risk aversion
• The canonical Portfolio Problem
• Insurance in the same framework
• Mean Variance analysis
• The Capital Asset Pricing Model (CAPM)
• State Pricing
• Linear Pricing
• Derivatives
• APT The Ross Arbitrage Pricing Theory, an asset pricing model.