Fall 2025
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 textbook. You do not need to read every proof, but be familiar with the basic definitions and results.
Textbook: Theoretical Foundations of Asset Pricing.
Grading: Weekly assignments
Office Hours: Immediately following every lecture or by appointment.