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Marketing paradigms class lectures_43534185-Lectures-in-Financial-Economics

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Lecture Notes in Financial Economics c by Antonio Mele  London School of Economics & Political Science November 2010 Contents Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I Foundations 1 The classic capital asset pricing model 1.1 Portfolio selection . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.1.1 The wealth constraint . . . . . . . . . . . . . . . . . . . . . . . 1.1.2 Portfolio choice . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.1.3 Without the safe asset . . . . . . . . . . . . . . . . . . . . . . . 1.1.4 The market portfolio . . . . . . . . . . . . . . . . . . . . . . . . 1.2 The CAPM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3 The APT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3.1 A first derivation . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3.2 The APT with idiosyncratic risk and a large number of assets . 1.3.3 Empirical evidence . . . . . . . . . . . . . . . . . . . . . . . . . 1.4 Appendix 1: Some analytical details for portfolio choice . . . . . . . . . 1.4.1 The primal program . . . . . . . . . . . . . . . . . . . . . . . . 1.4.2 The dual program . . . . . . . . . . . . . . . . . . . . . . . . . . 1.5 Appendix 2: The market portfolio . . . . . . . . . . . . . . . . . . . . . 1.5.1 The tangent portfolio is the market portfolio . . . . . . . . . . . 1.5.2 Tangency condition . . . . . . . . . . . . . . . . . . . . . . ...
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