This is a PhD level course. The aim of the course is to provide a solid understanding of the modern theory of asset pricing, which is an important aspect of financial economics. The course starts with an introduction on utility theory and stochastic dominance. Next, portfolio theory and portfolio separation theorems are discussed. Based on the above foundation, the course then covers capital asset pricing model (CAPM) and arbitrage pricing theory (APT) and further links the asset pricing models to the idea of stochastic discount factor (SDF). Finally, students are required to comment and to present selected journal articles on the topics of emirical asset pricing. Students who would like to develop a solid foundation for future research in finance would benefit from the course.