Teacher: Noemí Navarro

Email : Navarro(dot)Prada(at)gmail(dot)com

Contact Person at Ensai: Stéphane Auray Stephane(dot)AURAY(at)Ensai(dot)fr

Date of Courses: Feb 26 and 27, March 10, 11, 12, 24 and 26

Deadline Homeworks: March 6 and 26.

Date of Exam: April 2.

Reading: Christian Gollier, "The Economics of Risk and Time", MIT Press, 2001

Syllabus:

1. General Theory

(a) The Expected Utility Model (Ch. 1, Feb 26)

(b) Risk Aversion (Ch. 2, Feb 26-27)

(c) Change in Risk (Ch. 3, March 10)

2. The Portfolio Problem

(a) The Standard Portfolio Problem (Ch. 4, March 10-11)

(b) The Equilibrium Price of Risk (Ch. 5, March 11)

3. The Arrow-Debreu Portfolio Problem

(a) The Demand for Contingent Claims (Ch. 13, March 24)

4. Recap and Homeworks (March 26)