| Course code |
MET517NFB |
| Course title |
Advanced Methods for the Economics of Risk and Time |
| Course responsible |
Miles Kimball (University of Michigan) (Fred Schroyen will be the local coordinator) |
| Department |
Department of Economics/Department of Finance and Management Science |
| Institution |
NHH |
| ECTS |
7,5 |
| Semester |
2010 Spring (intensive) |
| Teaching period |
Intensive lectures starting on Monday 3th of May till Tuesday 11th of May 2010.
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| Teaching language |
English |
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| Objective/Course outline |
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This course will teach mathematical methods for analyzing choices involving risk and time, emphasizing multiperiod models (such as the standard multiperiod consumption/ saving/ portfolio choice problems of a household and the investment decision of a firm facing both risk and adjustment costs).
The methods taught will include the diffidence theorem, a powerful symmetry theorem, the "preservation under maximization" proof technique and the method of conjugate functions. |
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| Topics |
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1. Recursive characterizations of value functions
2. The economics of uncertainty in one- and two-period models
3. Symmetry methods
4. Separating risk aversion and the elasticity of intertemporal substitution using Kreps-Porteus (Epstein-Zin-Weil) preferences |
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| Other remarks |
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If you plan to attend this course, please remember to register. For students that want to get credits for this course, registration must be accepted in advance.
Non-NHH PhD students, can apply for for visiting status ("hospitant status") by filling out the registration form here.
If you need help in completing the form or want to attend the course without getting credits, please contact Wenche Mørch - Tel (+47) 55 95 92 46.
Useful information about accomodation in Bergen can be found here. There is a student hostel (Hatleberg Studenthjem) within walking distance from the school, phone (+47) 55 95 74 00 - E-mail: bolig@sib.uib.no |
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