Econ 815 - Fall 2017
Syllabus
- Course Description and Outline
Problem Sets
- Problem Set 1 (Due October 19)
- Problem Set 2 (Due November 16)
- Midterm Exam & Solutions
Old Problem Sets and Exams
- Problem Set 1 (Due October 13)
- Problem Set 1 (Solutions)
- Midterm Exam & Solutions
- Midterm Exam & Solutions (2016)
- Problem Set 2
- Problem Set 3 (Due November 26)
- Problem Set 3 (Solutions)
- Final Exam & Solutions
- Final Exam (2016)
- Stefanie's Questions & My Answers
Background Reading
Shiller (2014), "Nobel Prize Lecture: Speculative Asset Prices"
Papers
Continuous-Time Stochastic Processes and Dynamic Optimization
"Stochastic Processes and Ito's Lemma" - Chpt. 3 from Investment Under Uncertainty by Dixit and Pindyck.
"Dynamic Optimization under Uncertainty" - Chpt. 4 from Investment Under Uncertainty by Dixit and Pindyck.
"Continuous Time Summary/Review" - class notes from John Cochrane
Dynamic Spanning, Arrow Securities, and Radner Equilibria
Arrow (1964), "The Role of Securities in the Optimal Allocation of Risk-Bearing", Review of Economic Studies
Radner (1972), "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets", Econometrica
"Time, Uncertainty, and the ADM Model" and "The Radner Version of the ADM Model", from Chpt. 5 of Big Ideas in Macroeconomics by K. Athreya
"Kenneth Arrow's Work on Coping with Risk and Uncertainty" by M. Yaari
The CAPM Model
Sharpe (1964), "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk", Journal of Finance
"The Capital Asset Pricing Model", Chpt. 7 of Investment Science by David Luenberger
Campbell (2000), "Diversification: A Bigger
Free Lunch", Canadian Investment Review
Campbell (2003), "Lecture Notes on
Diversification and the CAPM", unpublished notes.
Cochrane (1999), "Portfolio Advice for
a Multifactor World", Economic Perspectives (Chicago Fed)
Dynamic Consumption/Portfolio Rules
Merton (1969), "Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case", Review of Economics and Statistics
Option Pricing and Derivative Securities
Black and Scholes (1973), "The Pricing of Options and Corporate Liabilities", Journal of Political Economy
Black (1989), "How We Came Up with the Option Formula", Journal of Portfolio Management
Sutton, "Some Models That Work", from the book Marshall's Tendancies: What Can Economists Know
The Consumption-Based CAPM Model
Lucas (1978), "Asset Prices in an Exchange Economy", Econometrica
Summers (1985), "Economics and Finance", Journal of Finance
Heterogeneous Beliefs
Harrison and Kreps (1978), "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations", Quarterley J. of Economics
Scheinkman and Xiong (2003), "Overconfidence and Speculative Bubbles", Journal of Political Economy
Kasa, Walker, and Whiteman (2014), "Heterogeneous Beliefs and Tests of Present Value Models", Review of Economic Studies
Equivalent Martingale Measures and Risk-Neutral Pricing
Harrison and Kreps (1979), "Martingales and Arbitrage in Multiperiod Securities Markets", Journal of Economic Theory
Chapters 14 and 15 from S. Neftci's (1996) book, Mathematics of Financial Derivatives
Information Revelation and the Grossman-Stiglitz Paradox
Grossman and Stiglitz (1980), "On the Impossibility of Informationally Efficient Markets", American Economic Review
Speculation, Common Knowledge, and No-Trade Theorems
Tirole (1982), "On the Possibility of Speculation under Rational Expectations", Econometrica
Lecture Slides
Lecture 1
Lecture 2
Lecture 3
Lecture 4
Lecture 5
Lecture 6
Lecture 7
Lecture 8
Lecture 9
Lecture 10
Lecture 11
Lecture 12
Lecture 13
Lecture 14
Lecture 15
Lecture 16
Lecture 17
Lecture 18
Lecture 19
Lecture 20
Final Exam Topics and Practice Problems