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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
5.3 Taylor’s Theorem: Stochastic Version
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
5.5.1 Further axioms
5.5.2 Existence of expected utility functions
5.6 Jensen’s Inequality and Siegel’s Paradox
5.7 Risk Aversion
5.9 The Kelly Strategy
104 5.10. ALTERNATIVE NON-EXPECTED UTILITY APPROACHES
5.10 Alternative Non-Expected Utility Approaches
PORTFOLIO THEORY
6.1 Introduction
6.2 Notation and preliminaries
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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Mathematical Economics and Finance

# Mathematical Economics and Finance

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05/29/2012

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