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Lecture 23 of 26Lecture 23

The Mutual Fund Theorem and Covariance Pricing Theorems

John Geanakoplos · Yale University

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Financial Theory, Yale University (at Open Yale Courses)
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All the lectures

  1. Why Finance? Audio
  2. Utilities, Endowments, and Equilibrium Audio
  3. Computing Equilibrium Audio
  4. Efficiency, Assets, and Time Audio
  5. Present Value Prices and the Real Rate of Interest Audio
  6. Irving Fisher's Impatience Theory of Interest Audio
  7. Shakespeare's Merchant of Venice and Collateral, Present Value and the Vocabulary of Finance Audio
  8. How a Long-Lived Institution Figures an Annual Budget; Yield Audio
  9. Yield Curve Arbitrage Audio
  10. Dynamic Present Value Audio
  11. Social Security Audio
  12. Overlapping Generations Models of the Economy Audio
  13. Demography and Asset Pricing: Will the Stock Market Decline when the Baby Boomers Retire? Audio
  14. Quantifying Uncertainty and Risk Audio
  15. Uncertainty and the Rational Expectations Hypothesis: Applications to Predicting Stock Prices, Default Probabilities, and Hyperbolic Discounting Audio
  16. Backward Induction and Optimal Stopping Times Audio
  17. Callable Bonds and the Mortgage Prepayment Option Audio
  18. Modeling Mortgage Prepayments and Valuing Mortgages Audio
  19. History of the Mortgage Market: A Personal Narrative Audio
  20. Dynamic Hedging Audio
  21. Dynamic Hedging and Average Life Audio
  22. Risk Aversion and the Capital Asset Pricing Theorem Audio
  23. The Mutual Fund Theorem and Covariance Pricing Theorems Audio
  24. Risk, Return, and Social Security Audio
  25. The Leverage Cycle and the Subprime Mortgage Crisis Audio
  26. The Leverage Cycle and Crashes Audio