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Module A - Asset Pricing and Portfolio Management

The Asset Pricing and Portfolio Management Module assembles specialists in theoretical and empirical approaches to pricing assets and building portfolios. The researchers contributing to this module ask questions such as: What is the financial impact on the market of heterogeneity of market beliefs among investors? Do market imperfections disrupt information that is ideally conferred by the market price? Do biases in investor choice survive, by a process of aggregation, to form market anomalies? And finally, what can we learn about the impact of financial innovation on asset prices and other important economic quantities in the real economy?

Coordinator: Prof. Fabio Trojani

Project A1Behavioural Finance
Leader: Prof. Thorsten Hensmore

Recent empirical and experimental evidence has challenged the descriptive validity of traditional finance on the level of individual decision-making and also on the level of the market. In this project, on the level of the individual, we want to derive rigorous economic models of portfolio choice that are consistent with the findings of the behavioural finance literature.

Project A2Macro Risk, Capital Flows and Asset Pricing in International Finance
Leader: Prof. Philippe Bacchettamore

The nexus between finance and the real economy is one of the most pressing issues in modern macro-finance. (Almost) unprecedented financial development and integration have brought to the fore new empirical and theoretical challenges. This project aims at improving our understanding of the linkages between finance and the macroeconomy.

Project A3New Methods in Theoretical and Empirical Asset Pricing
Leader: Prof. Fabio Trojanimore

The objective of this research project is to develop new general methods for the theoretical study and the empirical analysis of asset pricing models. The main focus is on some recent fundamental issues that have emerged in the literature as potentially promising, in relation to some key theoretical and empirical asset pricing problems.

Project A5Dynamic Asset Pricing
Leader: Prof. Damir Filipovicmore

This project deals with equilibrium asset pricing under market imperfections with a particular focus on the major risk sources in the financial markets: credit, interest rate, and volatility risks.

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