|This course offers the financial theory and quantitative analytical tools necessary for understanding securities pricing and Modern Portfolio Management. The course is organized into 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 and how this evolved over time. The second part of the course covers portfolio management based on mean-variance analysis; various models of risk and return (including both the CAPM and multifactor models); performance evaluation of mutual funds and hedge funds; and 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 to 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; and a CoursePack.|
|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.
There will be two voluntary review sessions, one each before the mid-term and final exams.
|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: 08/07/2013
|Course Conditions and Course Related Items:|