Econ 2021 - Fall 2018

Syllabus

-  Course Description and Outline

 Problem Sets

- 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 Slides

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

Cochrane (2017),  "Macro-Finance",  Review of Finance

Shiller (2014),  "Speculative Asset Prices",  American Economic Review

Varian (1987),  "The Arbitrage Principle in Financial Economics",  Journal of Economic Perspectives

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 Economy

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

Data Sets and Programs

Probset1.xlsx