This course will touch briefly on the (one-period) CAPM. Then we will move to the dynamic CAPM (Merton's model), first in discrete time, then in continuous time. We will also cover related approaches favored by practitioners, such as Black-Litterman. We will also cover estimation problems, and, if time allows, Roll's critique of the CAPM. Along the way, we will study dynamic programming in discrete and continuous time. Prerequisite: Math 256. Corequisite: Math 358.