This PhD-level course covers recent research on investor portfolio choice, asset pricing, and behavioral finance. The objective of the course is for students to apply the knowledge of financial economics they obtained in the PhD course sequence to evaluate research, dissect research methods and modeling approaches, identify open questions, and map out avenues for future research. The final project for this course is a research proposal that can potentially serve as a foundation for a summer paper project. Much of the time in this course is spent on material from the current research frontier, with a particular focus on topics that seem promising for further research efforts. Topics include retail investor trading; formation of investor expectations and investor demand; demand-systems asset pricing; pricing of extreme event risk; monetary policy and asset prices; pricing of inflation risk; international asset pricing.