3403718: Asset pricing and asset management

Description

• Financial Decision Theory
• Risk and Risk Aversion
• Portfolio Theory and Optimal Risk Portfolio
• Capital Market Models and Evaluation on Complete Markets
• Portfolio Management (with Bond Portfolio Management, Style Investing, Strategic and Tactical Asset Allocation, Active Portfolio Management, Use of Derivatives)

Learning Outcomes

• Explaining the financial decision theory fundamentals
• Evaluating theoretical portfolio considerations in order to achieve optimal risk
• Applying various capital market models in the case of equilibrium
• Systematically solving various problems within the framework of stock and bond portfolio management

Lectures Method

Interactive lecture with exercises

Literature

Required reading:

• Elton, E. /Gruber, M. /Brown, St.T., Goetzmann, W. (2007). Modern Portfolio Theory and Investment Analysis, (7th ed.). New York: John Wiley.

• Copeland, T. /Weston, J.F. /Shastri, K.. (2005). Financial Theory and Corporate Policy (Fourth Edition). Pearson.
• Bodie, Z. /Kane, A. /Marcus, A.J. (2008): Investments (Seventh Edition). Boston: Mc Graw-Hill.
• Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. In: Journal of Finance, May, pp. 383-417.

Materials

Lecture slides, exercises, sample questions will be available on Moodle