This class will touch briefly on the (one-period) CAPM. Then we will move to the dynamic CAPM (Mertonís 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, Rollís critique of the CAPM. Along the way, we will study dynamic programming in discrete and continuous time.