| Date |
Topics |
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03.10.2015
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Topics:
- Organisatorical issues
- Key Ideas and Research Methods in Financial Economics
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06.10.2016
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Topics:
- Financial decisions and the theory of choice: Intertemporal transfer of funds
- The Axioms of Choice and the Principle of Maximum Utility
Prepare review problems 1 and 5.
We will not discuss these problems in the lecture and you need not tick them. But you may upload your solutions in Moodle.
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10.10.2016
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Problem set 1: 1-4 - tick problems
Topics:
- Optimal consumption/investment decision
- Time consistent preferences
- Investment in real assets
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13.10.2016
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Topics:
- Fisher Separation
- Hedging risk
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17.10.2016
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Problem set 2: 5-7 - tick problems
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20.10.2016
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Problem set 2: 7c-d, 8 - tick problems
(Tick problem 7c-d again!)
Topics:
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24.10.2016
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Problem set 2: 9 - tick problem
Topics:
- Some elements of critique on the model of insurance
- Formal equivalence of optimal investment/consumption decisions under certainty and optimal demand for insurance
- Decisions under uncertainty (risk)
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27.10.2016
|
Please do not forget to answer online questions
(on Moodle and on http://gametheory.tau.ac.il)
Topics:
- Decision under uncertainty (risk): Axioms underlying Expected Utility Theory
- Online experiments:
Moodle: Which urn do you choose? (games 1+2)
Website "Games and Behavior": #39, 40
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31.10.2016
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Problem set 3: 10, 11(c), 12, 13 - tick problems
Topics:
- Definition of risk aversion
Prepare review problems 2 and 3.
We will not discuss these problems in the lecture and you need not tick them. But you may upload your solutions in Moodle.
|
|
03.11.2016
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Problem set 4: 14, 15(a) - tick problems
15(a): Sketch the graphs. For which domain is the function meaningful as a utility function?
Topics:
- Characterization of risk aversion
- Measuring risk aversion
|
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07.11.2016
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Problem set 4: 15(b) - tick problems
Topics:
- Observed facts
Discussion of online experiments
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10.11.2016
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Problem set 4: 16, 17, 19-21 - tick problems
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14.11.2016
|
Topics:
- Optimal Portfolio Selection and Risk Diversification: Mean-Variance Approach
- Portfolio selection problem
- Efficient frontier of risky assets
Prepare review problems 4(f), 7, 8.
We will not discuss these problems in the lecture and you need not tick them. But you may upload your solutions in Moodle.
|
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17.11.2016
|
Topics:
- Optimal Portfolio Selection and Risk Diversification: Mean-Variance Approach
- Efficient frontier with a risk-free asset
- Two fund separation theorem
- Remarks on the mean-variance approach
- Distribution of returns
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21.11.2016
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Problem set 5 - tick problems
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24.11.2016
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Problem sets 5, 6: 24-27 - tick problems
(Tick problem 24 again!)
Topics:
- Remarks on the mean-variance approach
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28.11.2016
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14:14-16:15: Midterm Exam
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01.12.2016
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Topics:
- Distribution of returns
- Market Equilibrium in the Mean-Variance Framework: The Capital Asset Pricing Model (CAPM)
Problem 28
|
Prepare review problem 6.
We will not discuss these problems in the lecture and you need not tick them. But you may upload your solutions in Moodle.
|
05.12.2016
|
Topics:
- The Capital Asset Pricing Model (CAPM)
- Two-Period Model: State-Preference Approach
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08.12.2016
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Holiday
|
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12.12.2016
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Problem set 7: 29-31 - tick problems
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15.12.2016
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Topics:
- Complete and Incomplete Markets
- The Law of One Price
Prepare review problem 4.
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09.01.2017
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Problem sets 8, 9: 32 (c), (d), 33-34 - tick problems
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12.01.2017
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Topics:
- No-Arbitrage Principle: The Fundamental Theorem of Asset Prices
Problem 37
- Pricing of Derivatives
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16.01.2017
|
Topics:
- Limits to Arbitrage
- Consumption Based Asset Pricing
- Equilibrium Pricing
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19.01.2017
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Topics:
- Equilibrium Pricing:
Consumption Based Asset Pricing Model, Market Equilibrium
Problem set 9 - tick problems again!
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23.01.2017
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Problem sets 10, 11
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26.01.2017
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30.01.2016
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14:15 - 16:30: Final exam
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Contact