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6301: Dynamic Asset Allocation ( efterår 2011 - 5 ECTS )

Rammer for udbud

  • Uddannelsessprog: engelsk
  • Niveau: Elective MSc/IMSQE/PhD course  
  • Semester/kvarter: Summer school, intensive one-week  
  • Timer per uge: 20 hours of lectures/exercises in one week  
  • Deltagerbegrænsning:
  • Undervisningssted: Århus
  • Hovedområde: Det Samfundsvidenskabelige Fakultet
  • Udbud ID: 28729

Formål

After completion of the course, it is expected that the student can:

- explain the general modeling techniques presented in the course and apply them to specific problems similar to those studied in the course
- explain how the results in the specific models are derived
- provide and discuss economic interpretations of the models and the results
- evaluate and compare the assumptions and results of different models

 

 

Indhold

The course focuses on the optimal consumption and investment decisions of utility-maximizing individuals in an intertemporal setting. The analysis is carried out in a continuous-time framework in which the basic uncertainty is represented by Brownian Motions. General results on diversification, fund separation, and intertemporal hedging are derived and discussed. A number of specialized models for long-term investment problems of individuals are analyzed in detail. The appropriateness of popular investment advice is discussed. The lectures include occasional discussions of exercises.

Course subject areas:

  • Review of dynamic programming in continuous time
  • Consumption/portfolio choice when investment opportunities are constant
  • General results on consumption/portfolio choice when investment opportunities are stochastic; intertemporal hedging
  • Consumption/portfolio choice with interest rate risk
  • Consumption/portfolio choice with stochastic market prices of risk
  • Consumption/portfolio choice with stochastic price volatility
  • Consumption/portfolio choice with inflation uncertainty
  • Consumption/portfolio choice with labor income risk
  • Consumption/portfolio choice when housing decisions are included

Faglige forudsætninger

4388 Derivatives and Risk Management
6330 Advanced Financial Economics

 

Underviser

Claus Munk

 

Undervisnings- og arbejdsform

Lectures and exercises

 

Litteratur

Munk, C., "Dynamic Asset Allocation," Lecture notes, Aarhus University.
Articles.

 

Bedømmelse

  • Hj.opg., bedømt efter 7-skala med intern censur
    • 5 xxxxx

Form of assessment Take-home exam
Examination aids allowed All