- Problem Set 1 - (Due September 24)

- Problem Set 1 (Solutions)

- Problem Set 2 - (Due October 15)

- Problem Set 2 (Solutions)

- Problem Set 3 - (Due October 29)

- Problem Set 3 (Solutions)

- Problem Set 4 - (Due November 12)

- Problem Set 5 - (Due December 10)

Lecture 1

Lecture 2

Lecture 3

Lecture 4

Lecture 5

Lecture 6

Lecture 7

Lecture 8

Lecture 9

Lecture 10

Lecture 11

**Papers**

Cochrane (2005), "Preface/Chpt 1 (pgs
1-15)" from *Asset Pricing*

Shiller (2014), "Speculative Asset Prices",

Varian (1987), "The Arbitrage Principle in Financial Economics",

Borovicka (2017), "Chpt 1 Lecture Slides on Continuous-Time Stochastic Processes"

"Stochastic Processes and Ito's Lemma" - Chpt. 3 from Investment Under Uncertainty by Dixit and Pindyck.

"Dynamic Optimization under Uncertainty" - Chpt. 4 from Investment Under Uncertainty by Dixit and Pindyck.

"Continuous Time Summary/Review" - class notes from John Cochrane

Arrow (1964), "The Role of Securities in the Optimal Allocation of Risk-Bearing", Review of Economic Studies

Merton (1969), "Lifetime Portfolio Selection
Under Uncertainty: The Continuous-Time Case",
Review of Economics and Statistics

Black (1989), "How We Came Up witth the Option
Formula", Journal of Portfolio Management

Borovicka (2017), "Learning
and Filtering"

Pastor and Veronesi (2009), "Learning
in Financial Markets", *Annual Review of Financial
Economics*

Veronesi (1999), "Stock Market Overreaction
to Bad News In Good Times: A Rational Expectations Equilibrium
Model", *Review of Financial Studies*

Bansal and Yaron (2004), "Risks for
the Long-Run: A Potential Resolution of Asset Pricing
Puzzles", *Journal of Finance*

Alvarez and Jermann (2005), "Using
Asset Prices to Measure the Persistence of the Marginal
Utility of Wealth", *Econometrica*

Epstein, Farhi, and Strzalecki (2014), "How Much Would You Pay to Resolve
Long-Run Risk?", *American Economic Review*

Borovicka and Hansen (2016), "Term
Structure of Uncertainty in the Macroeconomy"

Hansen and Sargent (2011), "Wanting
Robustness in Macroeconomics", *Handbook of
Monetary Economics*

Hansen, Sargent, Turmuhambetova, and Williams (2006), "Robust Control and Model Misspecification",
*Journal of Economic Theory*

Barillas, Hansen and Sargent (2009), "Doubts or Variability?", *Journal
of Economic Theory*

Hansen and Sargent (2017), "The Price
of Macroeconomic Uncertainty with Tenuous Beliefs"

Hansen and Miao (2018), "Aversion
to Ambiguity and Model Misspecification in Dynamic Stochastic
Environments"

Scheinkman and Xiong (2003), "Overconfidence and Speculative Bubbles",
Journal of Political
Econom*y*

Dumas, Kurshev, and Uppal (2009), "Equilibrium
Portfolio Strategies in the Presence of Sentiment Risk
and Excess Volatility", *Journal of Finance*

Chen and Kohn (2011), "Asset Price
Bubbles from Heterogeneous Beliefs About Mean Reversion Rates",
*Finance and Stochastics*

Bhamra and Uppal (2014), "Asset Prices with Heterogeneity
in Preferences and Beliefs", *Review of Financial
Studies*

He and Krishnamurthy (2013), "Intermediary
Asset Pricing", *American Economic Review*

Probset1.xlsx