|In this course we discuss the most important financial theories and quantitative analytical tools necessary for understanding Modern Portfolio Management. The course is organized in three parts. The first part of the course covers Fixed Income Theory: the pricing of bonds, forward and swaps; the term structure of interest rates; the conduct of monetary policy ad how this evolved over time. The second part of the course covers Equity Portfolio Management based on mean-variance analysis; the models of risk and return (including both the CAPM and multifactor models); performance evaluation of mutual funds and hedge funds; market efficiency (including asset pricing anomalies and behavioral finance). The last part of the course discusses derivative security pricing (including options, futures, forwards, and swaps); and international investment.
The theoretical concepts and intuition presented in the course are applied on real-world data and problems, both in class and in homework assignments. An array of analytical and statistical skills will be developed throughout the course.
|The main texts used for the course are Bodie, Kane, and Marcus, Investments; Grinblatt and Titman, Financial Markets and Corporate Strategy; and a CoursePack.
Also Recommended: Malkiel, Burton G., A Random Walk Down Wall Street, and Siegel, Jeremy J., Stocks for the Long Run.
|Based on 5-6 homework assignments, case write-ups and discussion, a mid-term, and a final. Class participation will also play a role. Cannot be taken pass/fail. No auditors.|
|Business 30000, 33001, and 41000 or 41100. Students must be comfortable with statistics, linear and matrix algebra, calculus, and microeconomics at the level of the above courses. Familiarity with a spreadsheet package such as Excel is vital.
Description and/or course criteria last updated: 07/05/11
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