This course has two main objectives: First, to introduce students to the frontier of research in asset pricing. We will cover recent models that have been proposed to shed light on intriguing empirical regularities, such as the equity premium and excess volatility puzzles, the interest rate puzzle, the time series and cross-sectional predictability of returns. The course also covers fixed income and credit risk, both from a no arbitrage and macroeconomic perspective. By the end of the course, students will be comfortable with the pros and cons of various modeling strategies, and their empirical predictions. Topics include complete and incomplete markets equilibrium models,learning and uncertainty, differences of opinion and asymmetric information, aversion to “ambiguity” and non additive preferences.

The second objective of the course is to teach students how to write coherent research papers: The main assignments will be four research ideas, that students (in small groups) have to develop into four research papers. Each of these papers will have to include an introduction with motivation, a model and its solution (tips will be provided), the discussion of the model’s predictions, and their empirical tests. In addition, students will have to turn in a final paper on a topic of their choice. By the end of the course, students will learn what it takes to write a paper, the type of assumptions sometimes we must make to solve models, when we need to resort on numerical methodologies to obtain results and model predictions, and, finally, how we confront the models’ predictions with empirical data.

The course is intended for Ph.D. students and requires familiarity with the basics of asset pricing theory, at the level of Bus35901 and Bus 35904, and derivative pricing, at the level of Bus 35100 (or, even better, Bus 35130 and Bus 35132).

**Important Note: This course can be
taken to satisfy the curriculum requirement in the finance concentration.**

To know more about the course, you can download a PDF file with the Course Syllabus

Many have asked me to post my teaching notes a site that is not password protected (to access the link below you must be associated with booth). The following are selected chapters of my teaching notes. Be aware that these are teaching notes, and, as such, they are not clean. Sometimes, I only have tables and figures, with no comments in the text. Also, I cover much additional stuff on the board

Lecture
Notes 1 Complete Markets Models

Addendum to Lecture
Notes 1 Dynamic Portfolio Allocation Strategies

Addendum to Lecture
Notes 1 Dynamic Portfolio Allocation Strategies: The Martingale Method

Lecture
Notes 2 Equilibrium with Complete Markets

Addendum to Lecture
Notes 2 Habits and Leverage

Lecture
Notes 3 Uncertainty, Learning, and Asset Pricing

Addendum to Lecture
Notes 3 What Ties Return Volatilities to Price Valuations and Fundamentals?

Addendum 2 to Lecture
Notes 3 Incomplete Information and Learning: Portfolio Allocation (Martingale Method)

Addendum 3 to Lecture
Notes 3 Stock Valuation with Uncertainty about Long-term Growth

Lecture
Notes 4 Governments and Asset Prices

Lecture
Notes 5 Participation Constraints, Asymmetric Information, and Differences of Opinion

Lecture
Notes 6 Market Incompleteness and Portfolio Constraints

**2016 Version of the course (1/2 course) **

Lecture
Notes 1 Complete Markets Models

Addendum to Lecture
Notes 1 Dynamic Portfolio Allocation Strategies

Addendum to Lecture
Notes 1 Dynamic Portfolio Allocation Strategies: The Martingale Method

Lecture
Notes 2 Equilibrium with Complete Markets

Lecture
Notes 3 Uncertainty, Learning, and Asset Pricing

Addendum to Lecture
Notes 3 What Ties Return Volatilities to Price Valuations and Fundamentals?

Addendum 2 to Lecture
Notes 3 Incomplete Information and Learning: Portfolio Allocation (Martingale Method)

Lecture
Notes 4 Governments and Asset Prices

**2015 Version of the course**

To know more about the course, you can download a PDF file with the Course Syllabus

Lecture
Notes 1 Complete Markets Models

Addendum to Lecture
Notes 1 Dynamic Portfolio Allocation Strategies

Addendum to Lecture
Notes 1 Dynamic Portfolio Allocation Strategies: The Martingale Method

Lecture
Notes 2 Equilibrium with Complete Markets

Lecture
Notes 3 Uncertainty, Learning, and Asset Pricing

Addendum to Lecture
Notes 3 What Ties Return Volatilities to Price Valuations and Fundamentals?

Addendum 2 to Lecture
Notes 3 Incomplete Information and Learning: Portfolio Allocation (Martingale Method)

Lecture
Notes 4 Governments and Asset Prices

Lecture
Notes 5 Heterogeneity

Lecture
Notes 6 Market Incompleteness and Portfolio Constraints

Lecture
Notes 7 Term Structure Models

**2009 Version of the course**

Lecture
Notes 1 Dynamic Portfolio Allocation Strategies

Lecture
Notes 2 Uncertainty, Learning and Asset Pricing

Lecture
Notes 3 The Cross-Section of Stock Returns

Lecture
Notes 4 Fixed Income Securities

Lecture
Notes 5 No Arbitrage Term Structure Models and the Macro Economy

Lecture
Notes 6 Structural Credit Risk Models

**2005 Version of the course**

Teaching
Notes 0 Elements of Probability Theory

Teaching
Notes 1 Review of Dynamic Equilibrium Models with Complete Markets

Addendum
to TN1 Portfolio Selection with Time Varying

Teaching
Notes 2 Equilibrium with Complete Markets

Teaching
Notes 3 Incomplete Information and Learning: Equilibrium Returns

Addendum
to TN3 Incomplete Information and Learning: Portfolio Allocation

Teaching
Notes 4 Alternative Preferences: Habit Formation and Recursive Utility

Addendum
to TN4: Portfolio Selection with Recursive Utility and Time Varying
Expected Returns

Teaching
Notes 5 Ambiguity Aversion and Robust Decision Making

Addendum
to TN5: Robust Control, Time Varying

You can contact me by sending your mail at pietro.veronesi@ChicagoBooth.edu