FIN-405 / 6 credits

Teacher: Collin Dufresne Pierre

Language: English


Summary

The course covers a wide range of topics in investment analysis

Content

Keywords

Investments, portfolio choice, asset pricing.

Learning Prerequisites

Required courses

  • Introduction to finance
  • Econometrics

Learning Outcomes

By the end of the course, the student must be able to:

  • Derive the mean-variance efficient frontier, analyze diversification benefits, and explain the concept of risk parity
  • Explain the Capital Asset Pricing Model (CAPM) and describe extensions of the framework including those that take into account liquidity, consumption, and intertemporal issues
  • Implement models with macro factors and portfolio factors including the Fama and French model; compare and contrast the Arbitrage Pricing Theory (APT) with the CAPM
  • Assess / Evaluate the empirical performance of asset pricing models with particular emphasis on size and value anomalies, the risk anomaly, and liquidity
  • Characterize empirical evidence for limits to arbitrage; explain biases in investors' decision making
  • Contrast different approaches to estimating the yield curve including bootstrapping, cubic splines, and Nelson-Siegel; suggest relative-value trading strategies in fixed-income markets
  • Implement and describe hedging strategies using duration and convexity concepts
  • Characterize the expectation hypothesis including the empirical evidence or lack thereof
  • Design trading strategies in foreign exchange and commodity markets based on carry and momentum
  • Derive dynamic asset allocation strategies in settings with stochastic interest rates and stochastic risk premia

Transversal skills

  • Assess one's own level of skill acquisition, and plan their on-going learning goals.
  • Take feedback (critique) and respond in an appropriate manner.

Teaching methods

Lectures and exercises

Assessment methods

  • 30% combined weight on weekly assignments
  • 30% midterm exam
  • 40% final exam

Resources

Bibliography

The main textbook for the course is:

Zvi Bodie, Alex Kane, and Alan Marcus. Investments. McGraw-Hill.

 

In addition, a number of journal articles will be used.

Ressources en bibliothèque

Prerequisite for

  • Advanced derivatives
  • Credit risk
  • Venture capital

In the programs

  • Semester: Spring
  • Exam form: During the semester (summer session)
  • Subject examined: Investments
  • Lecture: 3 Hour(s) per week x 14 weeks
  • Exercises: 2 Hour(s) per week x 14 weeks
  • Semester: Spring
  • Exam form: During the semester (summer session)
  • Subject examined: Investments
  • Lecture: 3 Hour(s) per week x 14 weeks
  • Exercises: 2 Hour(s) per week x 14 weeks
  • Semester: Spring
  • Exam form: During the semester (summer session)
  • Subject examined: Investments
  • Lecture: 3 Hour(s) per week x 14 weeks
  • Exercises: 2 Hour(s) per week x 14 weeks

Reference week

 MoTuWeThFr
8-9     
9-10     
10-11     
11-12     
12-13     
13-14     
14-15     
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22