Advanced Methods for the Economics of Risk and Time

MET517NFB Advanced Methods for the Economics of Risk and Time

  • Topics


    1. Recursive characterizations of value functions

    2. The economics of uncertainty in one- and two-period models

    3. Symmetry methods

    4. Separating risk aversion and the elasticity of intertemporal substitution using Kreps-Porteus (Epstein-Zin-Weil) preferences


  • Learning outcome

    Learning outcome

    This course will teach mathematical methods for analyzing choices involving risk and time, emphasizing multi-period models (such as the standard multi-period consumption/ saving/ portfolio choice problems of a household and the investment decision of a firm facing both risk and adjustment costs).

    The methods taught will include the diffidence theorem, a powerful symmetry theorem, the "preservation under maximization" proof technique and the method of conjugate functions.


  • Teaching


    Intensive lectures starting on Monday 3th of May till Tuesday 11th of May 2010.

  • Required prerequisites

    Required prerequisites

    Students should have taken a standard "Mathematics for Economists¿ course and be familiar with constrained optimisation techniques.

  • Requirements for course approval

    Requirements for course approval

    Daily assignments that are graded.

  • Assessment


    Pass/Fail of the set of assignments.

  • Grading Scale

    Grading Scale

    Grading: pass or fail.

  • Computer tools

    Computer tools


  • Semester




  • Literature


    Main literature

    To be announced.

    Recommended reading

    To be announced.



ECTS Credits
Teaching language

Course responsible

Miles Kimball, University of Michigan

Local coordinator: Fred Schroyen, Department of Economics