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Table Of Contents

2.4 Partial and Total Derivatives
2.5 The Chain Rule and Product Rule
2.6 The Implicit Function Theorem
2.7 Directional Derivatives
2.8 Taylor’s Theorem: Deterministic Version
2.9 The Fundamental Theorem of Calculus
CONVEXITY AND OPTIMISATION
3.1 Introduction
3.2 Convexity and Concavity
3.2.1 Definitions
3.2.2 Properties of concave functions
3.2.3 Convexity and differentiability
3.2.4 Variations on the convexity theme
3.3 Unconstrained Optimisation
3.6 Duality
CHOICE UNDER CERTAINTY
4.1 Introduction
4.2 Definitions
4.3 Axioms
4.4.1 The consumer’s problem
4.4.2 The No Arbitrage Principle
4.4.3 Other Properties of Marshallian demand
4.4.4 The dual problem
4.4.5 Properties of Hicksian demands
4.6 Further Results in Demand Theory
4.7 General Equilibrium Theory
4.7.1 Walras’ law
4.7.2 Brouwer’s fixed point theorem
4.7.3 Existence of equilibrium
4.8 The Welfare Theorems
4.8.1 The Edgeworth box
4.8.2 Pareto efficiency
4.8.3 The First Welfare Theorem
4.8.4 The Separating Hyperplane Theorem
4.8.5 The Second Welfare Theorem
4.8.6 Complete markets
4.8.7 Other characterizations of Pareto efficient allocations
4.9 Multi-period General Equilibrium
CHOICE UNDER UNCERTAINTY
5.1 Introduction
5.2 Review of Basic Probability
5.4 Pricing State-Contingent Claims
5.4.1 Completion of markets using options
5.4.3 Completing markets with options on aggregate consump- tion
5.4.4 Replicating elementary claims with a butterfly spread
5.5 The Expected Utility Paradigm
5.5.1 Further axioms
5.5.2 Existence of expected utility functions
5.6 Jensen’s Inequality and Siegel’s Paradox
5.7 Risk Aversion
5.8 The Mean-Variance Paradigm
5.9 The Kelly Strategy
6.2.1 Measuring rates of return
6.2.2 Notation
6.3 The Single-period Portfolio Choice Problem
6.3.1 The canonical portfolio problem
6.3.2 Risk aversion and portfolio composition
6.3.3 Mutual fund separation
6.4 Mathematics of the Portfolio Frontier
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Mathematics - Mathematical Economics and Finance

Mathematics - Mathematical Economics and Finance

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Published by: JadMadi on Nov 22, 2010
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11/07/2011

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