A doctoral-level course that offers an in-depth introduction to competitive asset pricing theory: arbitrage pricing, mean-variance analysis, competitive equilibrium and optimal consumption/portfolio choice. There is equal emphasis on sound economics and well-motivated methodology, which includes an introduction to continuous-time methods of arbitrage pricing and dynamic consumption and portfolio choice with recursive utility.
Prerequisites: Linear algebra, convex optimization and some probability theory, all at an introductory graduate level. As preparation for this class, please review Appendix B of the posted textbook. You do not need to read every proof, but be familiar with the basic definitions and results.
Textbook: A Course on the Theory of Competitive Financial Markets. (For the latest version, you may need to reload the web page.)
Grading: Weekly assignments and class participation.
Office Hours: Immediately following every lecture or by appointment.