Lectures related to Exponential utility

Asset Pricing: Risk-Neutral Measure and State Prices

Covers risk-neutral measure, state prices, utility functions, and risk aversion in asset pricing.

Explores expected utility theory, risk-aversion, utility functions, and decision-making under uncertainty.

Explores dynamic portfolio selection, log-utility functions, risk aversion, and optimal control problems in financial markets.

Expected Utility and Risk-Aversion: Theoretical Foundations

Explores expected utility, risk-aversion, insurance premiums, and portfolio choice in asset pricing.

Optimal Betting Strategy

Explores the optimal betting strategy in a dynamic programming gambling problem, emphasizing risk preference impact.

Risk Aversion and Utility Functions

Explores risk aversion, utility functions, and their impact on consumption responses and financial decisions.

Mean-Variance Portfolio Optimization

Explores Mean-Variance Utility, optimal portfolio choice, diversification benefits, efficient frontiers, and risk-free assets in portfolio optimization.

Dynamic Portfolio Selection

Explores dynamic portfolio selection, utility functions, risk aversion, and log-utility in financial markets.

Specification of the deterministic part

Covers the specification of the deterministic part in choice models.

Choice Models: Specification and Heterogeneity

Covers the specification of choice models with qualitative attributes and discusses modeling heterogeneity through segmentation.

International Portfolio Allocation

Explores the optimization of international portfolio allocation and the principles of comparative advantage in trade.

Choice Models: Piecewise Linear Specification

Introduces the piecewise linear specification in choice models, illustrating how sensitivity to travel time varies.

Specification of the deterministic part

Explores piecewise linear specifications in choice models and their impact on sensitivity to travel time.

Risk Aversion and Complete Markets

Explores risk aversion, complete markets, and optimal behavior in macro-finance models.

Asset Pricing Theory: Risk Aversion and Utility Functions

Explores risk aversion, utility functions, and asset pricing theory, including classic models and the Kreps-Porteus-Epstein-Zin utility function.

Asset Pricing: Utility Functions and Risk Management

Explores utility functions and risk management in asset pricing under uncertainty.

Equity Premium Puzzle

Explores the Equity Premium Puzzle and its macrofinance implications.

Global Model: Consumption and Prices

Covers a global model with two countries, consumption, prices, and market clearing.

Stochastic Optimal Control: Martingale Theorem

Explores Stochastic Optimal Control, emphasizing Optimal Consumption and Investment, the Martingale Representation Theorem, and the Verification Theorem.

Panel data: dynamic model

Explores the dynamic model for panel data analysis and the Markov assumption.