The course aims to provide the student with the technical and theoretical tools to understand the choices of economic agents in uncertainty. First, the fundamental concepts of neoclassical risk and decision theory will be addressed: risk aversion and stochastic dominance. Various specific themes such as asset pricing models, general equilibrium models with Arrow-Debreu securities, and consumption and savings choices will be touched in uncertainty.
None.
In the first part of the course I will present the fundamental concepts involving the economic decisions under uncertainty. In the second part of the course, the class will be divided in groups. Each group has to study a specific topic and present it to the entire class.
1. Risk aversion and the Arrow-Pratt approximation
2. Stochastic dominance.
3. Simple portfolio problem.
4. Equity Premium Puzzle.
5. Consumption and Savings under certianty and uncertainty.
6. The equilibrium price of time.
Gollier, C. The Economics of risk and time, MIT Press
Ricevimento: In Imperia: Tuesday 2.30 pm (second semester only) In Genoa: Thursday 4:00 pm
GABRIELE CARDULLO (President)
MARCO GUERRAZZI
16th September 2019
Written exam (with both quantitative and qualitative questions) for the first part. In the second part, each student is required to study an article (chosen from a list complied by the teacher) and present it to the class.
Each student will be able to understand the basic conceps concerning the economic behaviour under uncertainty and apply this knowledge by solving pratical problems in finance. In addition, the second part of the course will be useful to evaluate the ability to understand complex issues and explain them to other people.
