Class Notes and Outline

Asset Pricing II – Autumn 2023

• Syllabus

• Class Notes – Term Structure of Uncertainty and Pricing

• Class Notes – Exploring Recursive Utility

• Class Notes – Risk, Ambiguity and Misspecification 

• Class Notes – Production and Asset Pricing

• Class Notes – Some Continuous-time Limits

• Class Notes – Robust Identification of Investor Beliefs

Background Material

• Lecture Notes – Econ 311

Term Structure of Uncertainty and Pricing

• Shock Elasticity Computation Notebook

• “Examining Macroeconomic Models Through the Lens of Asset Pricing” joint research with Jaroslav Borovička – Journal of Econometrics

• “Term Structure of Uncertainty in the Macroeconomy” joint research with Jaroslav Borovička – Handbook of Macroeconomics

• “Uncertainty Spillovers for Markets and Policy” by Lars Peter Hansen – Annual Review of Economics

Recursive Preferences Under Uncertainty

• Exploring Recursive Utility

• “Risk, Ambiguity and Misspecification: Decision Theory, Robust Control, and Statistics” with Thomas J. Sargent – working paper