This page is for my 3 lectures while Sylvain Benoit uses MyCourse (Dauphine Intranet) for his 3 sessions.
Want to install MATLAB at home for free using Dauphine’s global licence? Click here.
Syllabus *coming soon*
Lecture 1: An Introduction to MATLAB Programming
Objectives of the Lecture:
- Utilize the basic mathematical operations;
- Get know the general purpose commands of Matlab;
- Manipulate matrices, functions and loops;
Materials:
| chapter1.pdf Handout |
| exercise1.m Exercise 1 (MATLAB file) |
Lecture 2: Systematic risk, asset pricing in intertemporal models
Objectives of the Lecture:
- Understanding the standard Lucas asset pricing model;
- Highlighting both the equity premium and riskless rate puzzles;
- Fixing these puzzles through adjustment costs or recursive preferences;
Materials:
Lecture 3: Portfolio optimization
Objectives of the Lecture:
- Compute portfolio efficient frontier;
- Determine the optimal portfolio;
- Determine the tangency portfolio.
Materials: