Daniel Andrei : Teaching : Investments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments, Spring 2010

You can download the syllabus here

Lecture 1. Introduction: Securities, random walk, return and risk
Required readings: BKM chapters 1,2,3 and 5 and KRZ chapters 4 and 5
Recommended readings: Fama (1965), Sharpe (1995)

Lecture Notes (Matlab and Mathematica examples from the class here)
Homework
(Solution) 

Lecture 2. Asset Allocation I: Setting up the problem
Required readings: BKM chapters 6 and 7, KRZ chapter 3
Recommended readings: Elton and Gruber (2000), Solnik (1974), Bernstein (1992)

Lecture Notes  
(Matlab and Mathematica examples from the class here)
Homework
 (Solution)  Excel file for Problem 5

Lecture 3. Asset Allocation II: Multiple Risky Assets
Required readings: BKM chapter 8, KRZ chapter 20
Recommended readings: KRZ chapters 2 and 10, Black (1993), Brinson et al. (1986), Ibbotson and Kaplan (2001).

Lecture Notes  
(Matlab and Mathematica examples from the class here)
Homework (Solution)

Lecture 4. The Capital Asset Pricing Model: Intuitive and formal derivation, interpretation
Required readings: BKM chapter 9, KRZ chapter 1
Recommended readings: BKM chapter 10, Jagnnathan and McGrattan (1995)
Lecture Notes
Homework (Solution)

Lecture 5. Arbitrage Pricing Theory: Derivation, interpretation, CAPM versus APT
Required readings: BKM chapter 11, KRZ chapter 12
Recommended readings: Roll and Ross (1995), 
Burmeister et al. (2003)
Lecture Notes
Homework (Solution)

Lecture 6. Applications and Practical Issues in portfolio management: Risk management, portfolio insurance, constraints on admissible portfolios
Required readings: BKM chapters 24, 25 and 27
Recommended readings: Perold and Sharpe (1988)

Lecture Notes
Homework (Solution)

Lecture 7. Security Analysis 
Required readings: BKM chapters 17, 18 and 19
Recommended readings: “The Ins and Outs of Cash Flow”, BusinessWeek, 2001

Lecture Notes


 MIDTERM. Tuesday April 13, 2010 from 13:00 to 15:00
Location: Room INR219 (map 
here)
Old Midterm (2009)

Midterm 2010 with solutions
The midterm grades will be sent by mail Monday, May 3 2010. 


Lecture 8. Interest Rates and Related Contracts
Required readings: BKM chapter 14
Recommended readings: HULL chapter 4

Lecture Notes
Homework (Solution) 

Lecture 9. The Term Structure of Interest Rates
Required readings: BKM chapter 15
Lecture Notes
Homework (Solution)

Lecture 10. Managing Bond Portfolios
Required readings: BKM chapter 16
Lecture Notes
& Excel File
Homework (Solution)

Lecture 11. Interest Rate Derivatives
Required readings: HULL chapters 28, 30, and 31
Lecture Notes
Homework (Solution)

Lecture 12. Credit Risk
Required readings: HULL chapter 22
Lecture Notes
Homework (Solution)

Lecture 13. Credit Derivatives
Required readings: HULL chapter 23
Lecture Notes
Homework (Solution)

Lecture 14. Alternative Investments
Required readings: BKM chapter 26
Lecture Notes
Homework (Solution)


 EXAM. Tuesday June 1, 2010 from 13:00 to 15:00
Location: Room CE1101 (map 
here)
Old exam (2009)