Ph.D. Seminar in Asset Pricing (Notes & Other Material)

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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)

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