APHIOG workshop
This workshop is hosted by the project "Asset Pricing with Heterogeneous Investors in Overlapping Generations" at CAS and is a workshop for PhD students in finance.
Provisional Programme (subject to change)
Day 1, Monday 19 May
Led by Paul Ehling (in person at CAS).
Programme:
- Portfolio Choice
- Dynamic Consumption and Portfolio Choices: Cake Eating Problem in Discrete Time and in Continuous Time. The Solution(s) with Static and Time-Varying Opportunity Set.
- The Equivalent Static Portfolio Problem
- Asset Pricing with a Lucas tree & two trees
- Asset Pricing with Heterogeneous Risk Aversion
Lunch at Gabelshus
Day 2, Tuesday 20 May
Led by Paul Ehling (in person at CAS).
Programme:
- Portfolio Choice
- Dynamic Consumption and Portfolio Choices: Cake Eating Problem in Discrete Time and in Continuous Time. The Solution(s) with Static and Time-Varying Opportunity Set.
- The Equivalent Static Portfolio Problem
- Asset Pricing with a Lucas tree & two trees
Asset Pricing with Heterogeneous Risk Aversion
Led by Christian Heyerdahl-Larsen (in person at CAS).
Programme:
Beliefs Basics
Led by Petra Sinagl (online).
Programme:
Habits Basics
Lunch at Gabelshus
Day 3, Wednesday 21 May
Led by Paul Ehling (in person at CAS).
Programme:
Asset Pricing with Overlapping Generations
Led by Petra Sinagl (online).
Programme:
Asset pricing with Habits
Lunch at Gabelshus
Day 4, Thursday 22 May
Led by Zeshu Xu (in person at CAS).
Programme:
Experience effects.
Constraints. Literature: Basak, S., and D. Cuoco, 1998, An Equilibrium Model with Restricted Stock Market Participation, Review of Financial Studies, 11, 309–341. Gallmeyer, M., and S. Hollifield, 2008, An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy, Review of Finance, 12, 323–364.
Coding asset pricing models in Phyton: https://github.com/GoPenguinGo/AssetPricingWithLearningFromExperience
Lunch at Gabelshus
Day 5, Friday 23 May
Led by Christian Heyerdahl-Larsen (in person at CAS).
Programme:
Beliefs, demand disagreement, welfare
Multiple goods and internatinoal finance
Lunch at Gabelshus
Day 6, Tuesday 27 May
Led by Stavros Panageas (online).
Programme:
The Implications of Heterogeneity and Inequality for Asset Pricing