Mathematical Economics
Objectives
In this course we study the consumer choice theory with uncertainty and the general equilibrium model with financial markets. Our goal is to introduce the fundamentals underlying portfolio choice theory and asset pricing.
General characterization
Code
11577
Credits
3.0
Responsible teacher
Marta Cristina Vieira Faias Mateus
Hours
Weekly - 3
Total - 36
Teaching language
Português
Prerequisites
Basic notions of Analysis in Rn and Linear Algebra.
Bibliography
- Fudenberg F. and Tirole, J., Game Theory, The MIT Press, 1995.
- Hens, T. and Pilgrim, B., General Equilibrium Foundations of Finance, Springer-Science-Business Media, BV, 2002
- LeRoy S.L. and Werner, J., Principles of Financial Economics, Cambridge University Press, 2001.
- Magill, M. and Quinzii, M., Incomplete Markets: vol. I: finite horizon economies and vol. II: infinite horizon economies, Cheltenham, Northampton : An Elgar Reference Collection, cop. 2008.
- Mas-Colell, A., Whinston, M.D. and Green, J.R., Microeconomic Theory, Oxford University Press, 1995.
- Varian, H., Microeconomic Analysis, Viva-Norton Student Edition, 2009.
Teaching method
Classes/Labs where first the theoretical results are exposed, and secondly they are applied in the resolution of practical problems, proposed by the teacher. Proofs of some theoretical results are made, namely those that the Professor considers important for the understanding of these results.
Any questions or doubts will be adressed during the classes, during the weeekly sessions specially programmed to it or even at special sessions previously arranjed between professors and students.
Evaluation method
1 - In order to be evaluated, the student must attend all theoretical-practical classes (up to a maximum of 3 unjustified absences).
2 - Evaluation
2.1 - The continuous evaluation of the course consists in two elements. An exam in the class with weight 70% and the discussion of a paper in a group with weight 30%. The students must write a report with the discussion of the paper and a presentation and discussion in class is also compulsory.
2.2 - Final exam evaluation. The student is aproved if the grade of the final exam is greater or equal than 9,5.
Subject matter
1. Consumer choice theory
2. Choice under uncertainty
3. Optimization
4. General equilbrium in a pure exchange economy
5. General equilibrium with (incomplete) financial markets
6. Game theory
7. Arbitrage pricing theory