Asset Pricing

Part I: Optimal Consumption & First-Order Implications

• Optimal Discount Factors in the Single Period based on Back [1] Chap 1-3, Cochrane [3] Chap 1-2
• Stochastic Discount Factors in Discrete Time based on Back [1] Chap 8
• Existence of Stochastic Discount Factors in Discrete Time based on Cochrane [3] Chap 3-4, Back [1], Chap 4
• Mean-Variance Frontier and its Relation to Stochastic Discount Factors based on Cochrane [3] Chap 5, Back [1], Chap 5

Part II: Complete Markets in Continuous Time: The Turn to Incompleteness

• Basic Materials based on Björk [2], Chapters 4,5
• Arbitrage, Completeness and Martingale Pricing based on Björk [2], Chapters 6, 8, 10, 11, 12
• The Multivariate Case based on Björk [2] Chapters 13, 14
• Market Price of Risk and Hansen Jagannathan Bound based on Björk [2] Chapter 14
• Incomplete Markets based on Björk [2] Chapter 15

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