Explores the Capital Asset Pricing Model and the risk-return trade-off theory in financial economics, focusing on risk premiums and efficient portfolios.
Explores the practical applications and implications of the Capital Asset Pricing Model in finance, including estimating betas and calculating expected returns.
Introduces the Generalized Method of Moments (GMM) in econometrics, focusing on its application in instrumental variable estimation and asset pricing models.
Explores variance reduction techniques in stochastic simulation, emphasizing the use of auxiliary random variables and sample averages to improve efficiency.
Explores portfolio optimization models and strategies under uncertainty, emphasizing decision criteria like value-at-risk and mean-variance functional.
Explores Stochastic Optimal Control, emphasizing Optimal Consumption and Investment, the Martingale Representation Theorem, and the Verification Theorem.
