Financial Economics I Course at The University of Tokyo
Faculty of Economic at The University of Tokyo
4091: Financial Economics I
Summer Kobayashi and Garleanu
This course is an introductory course in theoretical financial economics, with an emphasis on the basic theories of asset pricing. We begin by dealing with individual choices under uncertainty and two-period consumption-portfolio problems. We then move on to equilibrium pricing theories, including implications of no arbitrage and stochastic discount factor, risk sharing, aggregation, and consumption-based pricing in complete markets, mean-variance efficiency and the Capital Asset Pricing Model, and the Arbitrage Pricing Theory. We also explore the relation between these various pricing theories. We will then explore models of pricing and portfolio choice in a multi-period setting. We will also discuss the behavioral choice models based on nonexpected utility and the prospect theory