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

• Investments / Bodie

Prerequisite for

• Advanced derivatives
• Credit risk
• Venture capital