Lectures related to Asset Pricing: Utility Functions and Risk Management

Expected Utility and Risk-Aversion: Theoretical Foundations

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

Explains the determination of equilibrium state prices in asset pricing through consumption market clearing and budget constraints.

Dynamic Portfolio Choice: Wealth Dynamics and HJB Equation

Covers dynamic portfolio choice, wealth dynamics, HJB equation, and asset pricing puzzles.

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: Risk-Neutral Measure and State Prices

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

Dynamic Portfolio Selection

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

Asset Pricing Puzzles: Understanding Risk and Utility Models

Explores asset pricing puzzles, risk-return dynamics, and utility models in financial economics.

Expected Utility and Risk-Aversion

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

Asset Pricing Theory: Mean Variance Analysis

Explores mean variance analysis, CAPM, risk aversion, and Sharpe ratio in asset pricing.

Investments: Portfolio Selection and Asset Pricing

Covers portfolio selection, asset pricing, market efficiency, and risk management in investments.

Equity Premium Puzzle

Explores the Equity Premium Puzzle and its macrofinance implications.

Asset Pricing: Theory and Applications

Series covers asset pricing theories, mean-variance optimization, state prices, and risk-neutral measures.

Asset Pricing: PhD Lecture

Explores asset pricing models, risk-free assets, portfolio choice, and stochastic discount factors in PhD classes.

Factor Models and CAPM

Covers the Capital Asset Pricing Model, estimating betas, empirical evidence on returns versus beta, short-sale constraints, and optimal portfolio choice.

Mean-Variance Portfolio Theory

Explores mean-variance efficient portfolios, factor models, and market efficiency in investment management.

Dynamic Programming: Portfolio Optimization

Explores dynamic programming for optimizing portfolio choices and asset pricing theory.

Asset Pricing: Dynamic Arbitrage Pricing & Black-Scholes Formula

Explores asset pricing theorems and the Black-Scholes formula derivation in discrete time economies.

Asset Pricing and Portfolio Optimization

Covers mean-variance efficiency, market completeness, and optimal portfolio weights in asset pricing and portfolio optimization.

Factor Models in Finance

Covers factor models, portfolio choice, anomalies, and mutual fund performance analysis.

Asset Pricing: Equilibrium and Pareto Optimality

Explores equilibrium and Pareto optimality in asset pricing theory, emphasizing market equilibrium conditions and welfare theorems.