| Lecture Slides |
Topic |
| |
Basics of Asset Pricing under Symmetric
Information and Homogenous Beliefs |
|
01 |
One Period Model - Securities Structure - Pricing
- Optimality |
|
02 |
Risk Preferences |
|
03 |
Equity Premium Puzzle |
|
04 |
State-price Beta Model |
|
05 |
Mean-Variance Analysis, Portfolio Theory and CAPM
(derivation with projections) |
|
06 |
Factor Pricing Models (APT, FF) |
|
07 |
Multi Period Model - Un/Conditional
Beta - Dynamic Completeness
- Hedging Demand |
| |
|
| |
Asset Pricing under Asymmetric Information |
|
11 |
Modeling Information, Equilibrium Concepts |
|
12 |
Competitive REE, Informational Efficiency |
|
13 |
Strategic Share Auctions |
|
14 |
Screening Models and Sequential Trade Models |
|
15 |
Kyle Models and Dynamic Programming |
|
16 |
Epistomology, Knowledge, Allocative Efficiency,
No-Trade Theorems |
| |
|
| |
Introducing Heterogeneous Beliefs |
|
21 |
Representative Agent Analysis under Hetereogeneous
Beliefs (by Glen Weyl) |
|
22 |
Optimal Expectations Framework |
| |
|
| |
Bubbles and Limits to Arbitrage |
|
31 |
Bubbles and Limits to Arbitrage I (Noise Traders
Risk) |
|
32 |
Bubbles and Limits to Arbitrage II
(Synchronization Risk) |
| |
|
| |
Liquidity and Risk Management (optional) |
|
41 |
Predatory Trading |
|
42 |
Funding Liquidity and Market Liquidity |
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