Lectures related to Dynamic Portfolio Selection

Asset Pricing: Utility Functions and Risk Management

Explores utility functions and risk management in asset pricing under uncertainty.

Expected Utility and Risk-Aversion: Theoretical Foundations

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

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.

Expected Utility and Risk-Aversion

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

Investments: Portfolio Selection and Asset Pricing

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

Dynamic Portfolio Choice: Wealth Dynamics and HJB Equation

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

Asset Pricing Puzzles: Understanding Risk and Utility Models

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

Asset Pricing: Risk-Neutral Measure and State Prices

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

Equilibrium State Prices Determination

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

Risk and Risk Premium

Explores risk evaluation, equivalent value, and insurance premium in lotteries, as well as discount rate adjustments.

Coherent Risk Measures: Spectral Approach

Explores coherent risk measures and the spectral approach to risk aversion, covering VaR, ES, subadditivity, convexity, and the creation of new risk measures.

Portfolio Theory: Risk Parity Strategy

Explores Portfolio Theory with a focus on the Risk Parity Strategy, discussing asset allocation proportional to the inverse of volatility and comparing different diversified portfolios.

Dynamic Portfolio Selection Log in to Mediaspace to watch this video

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

Optimal Betting Strategy Log in to Mediaspace to watch this video

Explores the optimal betting strategy in a dynamic programming gambling problem, emphasizing risk preference impact.

Equity Premium Puzzle Log in to Mediaspace to watch this video

Explores the Equity Premium Puzzle and its macrofinance implications.

Risk Aversion and Utility Functions Log in to Mediaspace to watch this video

Explores risk aversion, utility functions, and their impact on consumption responses and financial decisions.

Stochastic Optimal Control: Martingale Theorem Log in to Mediaspace to watch this video

Explores Stochastic Optimal Control, emphasizing Optimal Consumption and Investment, the Martingale Representation Theorem, and the Verification Theorem.

Risk Aversion and Complete Markets Log in to Mediaspace to watch this video

Explores risk aversion, complete markets, and optimal behavior in macro-finance models.

Mean-Variance Portfolio Optimization Log in to Mediaspace to watch this video

Explores Mean-Variance Utility, optimal portfolio choice, diversification benefits, efficient frontiers, and risk-free assets in portfolio optimization.

Financial Market Models: Arbitrage and Completeness Log in to Mediaspace to watch this video

Explores arbitrage-free and complete financial market models, risk-neutral probabilities, structured notes pricing, and option hedging.