Investments

FIN-405 / 6 credits

Teacher: Collin Dufresne Pierre

Language: English

Summary

The course covers a wide range of topics in investment analysis

Content

Topics include portfolio selection, equilibrium asset pricing, arbitrage pricing, market efficiency, behavioral finance, tests of asset pricing models, trading strategies in equity, fixed income, foreign exchange, and commodity markets, as well as dynamic asset allocation.

 

The course is rigorous, and students are expected to be able to understand and apply quantitative methods. Examples will illustrate real-world applications of the theory.

Keywords

Investments, portfolio choice, asset pricing.

Learning Prerequisites

Required courses

  • Introduction to finance

Recommended courses

  • 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
  • Explore 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
  • Explain the Capital Asset Pricing Model (CAPM) and describe extensions of the framework
  • Design dynamic asset allocation strategies in the presence of transaction costs
  • Explain sources of bid-ask spread and market illiquidity

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% project
  • 30% midterm exam
  • 40% final exam

Resources

Virtual desktop infrastructure (VDI)

No

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

Moodle Link

Prerequisite for

  • Advanced derivatives
  • Credit risk
  • Venture capital

In the programs

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

Reference week

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