Table of Contents:
- Required Leveling Reading List
- Intro (Choice Under Uncertainty, Machina, 1989)
- Lecture 1 (Portfolio Choice & Asset Pricing – The Basics)
- Lecture 2 (Arrow-Debreu & Radner Economies)
- Lecture 3 (Mean-Variance Portfolio Analysis, CAPM, APT, & HJB)
- Lecture 4 (Brownian Motion, Ito’s Lemma, & The BSM Model)
- Lecture 5 (Martingale Approach to Asset Pricing in Continuous Time)
- Lecture 6 (Conditional CAPM)
- Lecture 7 (Review of Dynamic Programming and Intertemporal Asset Pricing)
- Lecture 8 (Term Structure Models)
- Lecture 9a (Habit Formation & Recursive Utility Models)
- Lecture 9b (Production Based Models)
- Lecture 10 (Behavioral and Robust Asset Pricing)
- Lecture 11 (Asset Pricing under Incomplete Information & Learning)
- Lecture 12 (Market Microstructure)
- Lecture 13 (Glosten & Milgrom Model)
- Lecture 14 (Kyle Model)