Explores Stochastic Optimal Control, emphasizing Optimal Consumption and Investment, the Martingale Representation Theorem, and the Verification Theorem.
Covers the Capital Asset Pricing Model, estimating betas, empirical evidence on returns versus beta, short-sale constraints, and optimal portfolio choice.
Explores Portfolio Theory with a focus on the Risk Parity Strategy, discussing asset allocation proportional to the inverse of volatility and comparing different diversified portfolios.
Covers financial economics basics, including time value of money, risk/return tradeoff, and capital structure, preparing students for real-world financial decision-making.
Explores coherent risk measures and the spectral approach to risk aversion, covering VaR, ES, subadditivity, convexity, and the creation of new risk measures.
