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Asset Pricing and Portfolio Management

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The purpose of this programme is to provide theoretically rigorous and practically useful research on the behaviour of asset markets. Research is concerned with the pricing of financial assets and how these prices move, and with understanding the portfolio behaviour of individuals and financial institutions. Increased emphasis is being placed on general equilibrium modelling and the role of different behavioural assumptions and market frictions in price determination and the explanatory power of these characteristics. We are also investigating issues such as limited arbitrage and the implications for investor welfare and financial innovation.

The main research directions of this programme are:

  • Quantitative research on the cross-sectional and time-series properties of the distributions of asset returns
  • The structure, conduct and performance of the UK and European fund management industries including evaluation of different management styles and the impact of the regulatory environment
  • Hedge fund strategies and performance
  • Portfolio Choice Theory
  • Equilibrium and no-arbitrage asset pricing theory

Programme members

Programme director

  • Mikhail Chernov

Senior researchers

  • Amil Dasgupta
  • Jack Favilukis
  • Lucien Foldes
  • Christian Julliard
  • Christopher Polk
  • Rohit Rahi
  • Dimitri Vayanos
  • Michela Verardo
  • Kathy Yuan
  • Konstantinos Zachariadis
  • Jean-Pierre Zigrand

Associate members

  • Victor Haghani
  • Bob Nobay
  • Andrew Patton
  • Amlan Roy
  • Ian Tonks
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