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).