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.
Frequency | Weekday | Time | Format / Place | Period |
---|
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 |
This website uses cookies and similar technologies. Some of these are essential to ensure the functionality of the website, while others help us to improve the website and your experience. If you consent, we also use cookies and data to measure your interactions with our website. You can view and withdraw your consent at any time with future effect at our Privacy Policy site. Here you will also find additional information about the cookies and technologies used.