Event commentary
The events take place online via videos that have become asynchronously ready. These videos will be uploaded via Panopto to the "Videos" folder in the rhythm of the lecture and remain available throughout the semester.
Thematically, it is about an introduction to the theory of incomplete markets and the methods for describing and analyzing these formally.
Overview
1. Introduction
- Examples for coordination in complette and incomplete market structures
2. Decisions under uncertainty
- Modeling of uncertainty
- Expected utility hypothesis
- Risk aversion
3. Price information and allocation under uncertainty with complete market structure
- Example: Conditional futures markets
- Two-period base model with complete markket structure
4. Price information and allocation under uncertainty with incomplete market structure
- Modeling of incomplete market structures
- Arbitrage-free price system and state prices
- Efficiency properties of equilibrium allocations
5. The Capital Asset Pricing Model (CAPM)
- Pricing of risk
- 2-fund-separation
- Pareto-optimality
Prerequisities
- Microeconomics
- Decision theory
- Calculus, algebra, (basics of) probability theory
Literature
- J.-J. Danthine, J. B. Donaldson, Intermediate Financial Theory, 3. ed., Elsevier Academic Press, 2014.
- Jürgen Eichberger, Ian R. Harper, Financial Economics, Oxford University Press, 1997, Oxford etc.
- John Geanakoplos, An Introduction to General Equilibrium with Incomplete Asset Markets, Journal of Mathematical Economics 19 (1990), 1-38.
- Geoffrey A. Jehle, Philip J. Reny, Advanced Microeconomic Theory, 2. ed., Addison Wesley, 2001, Boston etc.
Rhythmus | Tag | Uhrzeit | Format / Ort | Zeitraum | |
---|---|---|---|---|---|
wöchentlich | Do | 14-16 | ONLINE | 12.04.-23.07.2021 |
Verstecke vergangene Termine <<
Modul | Veranstaltung | Leistungen | |
---|---|---|---|
31-M19 Profilmodul Markt- und Informationsstrukturen | Incomplete Markets | Studieninformation |
Die verbindlichen Modulbeschreibungen enthalten weitere Informationen, auch zu den "Leistungen" und ihren Anforderungen. Sind mehrere "Leistungsformen" möglich, entscheiden die jeweiligen Lehrenden darüber.
Studiengang/-angebot | Gültigkeit | Variante | Untergliederung | Status | Sem. | LP | |
---|---|---|---|---|---|---|---|
Studieren ab 50 |
Zu dieser Veranstaltung existiert ein Lernraum im E-Learning System. Lehrende können dort Materialien zu dieser Lehrveranstaltung bereitstellen: