311502 Information Structures, Risk Allocation and Prices in Financial Markets (V) (WiSe 2011/2012)
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Course in English
Syllabus: Information Structures, Risk Allocation and Prices in Financial Markets
The course deals with the role of public information, conveyed through an information structure, for the processes of risk allocation and price formation in financial markets. We begin with a thorough description and analysis of the theoretical concept of an information structure. The central theorems of information economics will be derived and illustrated. After treating the Arrow-characterization of equivalent information structures, stochastic dominance concepts will be used to define orderings on signal spaces. The usefulness of these orderings will be illustrated by means of various applications in economic models. Finally, we analyze the link between the value of public information and the operation of risk sharing arrangements.
Some basic literature:
Textbooks
1. Hirshleifer, J. and J. G. Riley (1992). The Analytics of Uncertainty and Information. Cambridge Surveys of Economic Literature. Cambridge Univerity Press.
2. Laffont, J.-J. (1989). The Economics of Uncertainty and Information. MIT Press.
3. Nermuth, M. (1982). Information Structures in Economics. Lecture Notes in Eco-nomics and Mathematical Systems. Springer.
Teaching staff
Dates ( Calendar view )
| Frequency | Weekday | Time | Format / Place | Period |
|---|
Subject assignments
| Degree programme/academic programme | Validity | Variant | Subdivision | Status | Semester | LP | |
|---|---|---|---|---|---|---|---|
| Betriebswirtschaftslehre / Diplom | (Einschreibung bis SoSe 2005) | - | B3a | - | - | 4 | HS |
| Economic Behavior and Interaction Models / Promotion | - | - | - | - | - | 4 | |
| Economics and Management (BiGSEM) / Promotion | - | - | - | - | - | 4 | |
| QEM - Models and Methods of Quantitative Economics / Master | - | - | - | - | - | 4 | |
| Volkswirtschaftslehre / Diplom | (Einschreibung bis SoSe 2005) | - | V1A; V5 | - | - | 4 | HS |
| Wirtschaftsmathematik / Master | (Einschreibung bis SoSe 2011) | - | MW09eS | - | - | 4 | |
| Wirtschaftswissenschaften / Master | (Einschreibung bis SoSe 2012) | - | Modul 5 | - | - | 4 | Themengebiet 5c |
- Registered number: 21
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- Last update basic details/teaching staff:
- Friday, December 11, 2015
- Last update times:
- Thursday, September 26, 2013
- Last update rooms:
- Monday, October 10, 2011
- Type(s) / SWS (hours per week per semester)
- Vorlesung (V) / 2
- Department
- Fakultät für Wirtschaftswissenschaften
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