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Material below this line stems from the 2010 lecture and serves only as an approximate lecture outlook.
Summary of lectures (Final)
Chapter 1 (Basics of dynamic optimization) 9/9/2010
Chapter 2 (Taxes Vs Quota and the LQ problem) 9/15/2010
Chapter 3 (Reactions to risk) 9/15/2010
Chapter 4 (Anticipated learning, 2 periods) 9/15/2010
Chapter 5 (Anticipated learning, multiperiod) 9/15/2010
Chapter 6 (Basics of continuous time dynamics) 10/11/2010
Chapter 7 (The Maximum Principle) 10/05/2010
Chapter 8 (DPE in continous time) 11/01/2010
Chapter 9 (Event uncertainty) 10/05/2010
Chapter 10
(Stochastic Control) 11/02/2010
Chapter 11 (Nonconvex Control Problems) 11/03/2010
Chapter 12 (Discounting) 11/08/2010
Notes 1 of 3
Notes 2 of 3
Notes 3 of 3
11/16/2010
Chapter 13 (Time Inconsistency) 11/18/2010
Chapter 14
(Disentangling Risk Aversion from Intertemporal Substitutability)
11/29/2010
Chapter 15 (Ambiguity) 12/01/2010
Problem sets and solutions
Problem set # 1, due September 7:
Problems at end
of Chapter 1 (first set of lecture notes). Your suggestions and
corrections for Chapter 1 of the notes. (Please be specific.
The purpose of this part of the assignment (for you) is to give you an
incentive to read the notes caredfully, and (for us) to help us improve
the notes.
Problem set #2, due September 16:
Problem at end of
Chapter 2 (the chapter on the linear-quadratic problem). The second
and third problems are based on
Problem set # 3: Due November 2
Problem set # 4: Due November 11. The files Predator Prey and Prey are matlab files that you can use to answer the first question in the problem set. To answer one problem you will probably have to read the Appendix "units".
Problem set # 5: Due November 25. The problem asks you to solve a simple linear quadratic stochastic control problem in continuous time, similar to the one we analyzed in class.
Old exams:
exam 2001 exam 2002 exam 2003 exam 2004 and key exam 2006 and key