THE DANISH DOCTORAL SCHOOL OF FINANCE


PHD COURSES

 

Intensive course

Taught by Peter Bossaerts, Professor of Finance and Director of the Laboratory for Experimental Finance at the California Institute of Technology

Time
September 20-24, 2004.
Monday from 10.00-13.00, Tuesday-Friday from 9.00-12.00.

Place
Copenhagen Business School, room PH209 (address: Porcelænshaven bygning 62, 2000 Frederiksberg).

Enrollment
To sign up for the course, please send a mail to Betina Thestrup at bt.fi@cbs.dk in which your affiliation is clearly stated.

Course details
Course schedule and other details, see http://www.hss.caltech.edu/~pbs/copenhagen/index.htm

The course will be based mainly on Professor Bossaerts' book with the same title,
see http://pup.princeton.edu/titles/7305.html

From this web page, here is a description of the book:

Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation.

Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money.

 

Latest update: 24-11-06
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