Workshop

APHIOG workshop

Illustration for the APHIOG project

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:  

  1. Portfolio Choice
    1. 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.
    2. The Equivalent Static Portfolio Problem
  2. Asset Pricing with a Lucas tree & two trees
  3. Asset Pricing with Heterogeneous Risk Aversion

 

Lunch at Gabelshus

 

Day 2, Tuesday 20 May 

Led by Paul Ehling (in person at CAS).

Programme:  

  1. Portfolio Choice
    1. 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.
    2. The Equivalent Static Portfolio Problem
  2. Asset Pricing with a Lucas tree & two trees
  3. 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