Description: This course focuses on theoretical and empirical tools and results in asset pricing and portfolio choice. The course introduces continuous time finance and broadly covers cross-sectional and time-series models in asset pricing, consumption-based models, as well as intermediary asset pricing including the role of capital constraints. Topics covered include utility and risk aversion, portfolio choice, stochastic discount factors, equilibrium and efficiency, mean-variance analysis and spanning tests, factor models, heterogeneous beliefs, learning, rational expectations equilibria, information/strategic trading/liquidity, and tests of asset pricing models and anomalies.
Component(s): Seminar