Syllabus
SYLLABUS
INTRODUCTION
Investment Environment
Asset Classes and Financial Instruments
Risk, Return, and Historical Record
BKM Ch 1, 2, 5 / RBL Ch 1, 2
PORTFOLIO THEORY AND PRACTICE
Capital Allocation to Risky Assets
Optimal Risky Portfolios
Index Models
BKM Ch 6-8 / RBL Ch 6
EQUILIBRIUM CAPITAL MARKETS
Capital Asset Pricing Model
Arbitrage Pricing Theory
BKM Ch 9, 10, 13 / RBL Ch 7
APPLIED PORTFOLIO MANAGEMENT
Portfolio Performance Evaluation
BKM 24 / RBL Ch 18
VALUE-AT-RISK
Risk Management
Value-at-Risk
Expected Shortfall
Coherent Risk Measures
Extreme Value Theory
Back-Testing
H 12
HOMEWORK 1 - data collection assigned: March 19, 2024 deadline: April 9, 2024
EMPIRICAL ASSET PRICING - Preliminaries
Preliminaries
Summary Statistics
Correlation
Persistence Analysis
Portfolio Analysis
Fama and Macbeth Regression Analysis
BEM Ch 1 - 6
HOMEWORK 2 - Empirical Asset Pricing I assigned: April 16, 2024 deadline: May 7, 2024
EMPIRICAL ASSET PRICING - The Cross-Section of Stock Returns
Market Factor
Beta
The Size Effect
The Value Premium
The Momentum Effect
Short-Term Reversal
Liquidity
Skewness
Idiosyncratic Volatility
BEM Ch 7-15
HOMEWORK 3 - Empirical Asset Pricing II assigned: April 30, 2024 deadline: June 11, 2024
Note: The instructor reserves the right to modify the content of the course and will notify students accordingly (in class and in Student Information System).
Annotation
The course provides the fundamentals of modern asset pricing theory and is designed for students interested in investment decision making, portfolio theory, and risk management. Topics covered include portfolio and diversification theory, equilibrium capital markets, and portfolio performance measures.
There are no formal prerequisites for the course. However, knowledge up to the level of Statistics (JEB105), Econometrics I & II (JEB109, JEB110), and Data Science with R I (JEM227) is assumed and expected.