| | | | |
| 1 | | | | Introduction | | | | Read Course Syllabus, BKM chapters 1-2, Merton (1990) and Sharpe (1995) |
| | | | |
| | | | |
| 2 | | | | Securities, Random Walk on Wall Street | | | | Read BKM chapters 3 and 5, Fama (1995) and Kritzman (1993). |
| | | | |
|
| Financial Theories |
|
| | | | |
| 3 | | | | Portfolio Theory, Part 1: Setting Up the Problem | | | | Read BKM chapters 6 and 7, Elton and Gruber (2000) and Kritzman (1992). |
| | | | |
| | | | |
| 4 | | | | Portfolio Theory, Part 2: Skewness Preference and Dynamic Rebalancing | | | | Read BKM Appendix A, B of chapter 6, Black (1995). |
| | | | |
| | | | |
| 5 | | | | Portfolio Theory, Part 3: Multiple Risky Assets | | | | Read BKM chapter 8, Kritzman (1994) and Kritzman (1991). |
| | | | |
| | | | |
| 6 | | | | The CAPM and APT, Part 1: Theory | | | | Read BKM chapters 9-11, Roll and Ross (1995) and Kritzman (1991). |
| | | | |
| | | | |
| 7 | | | | The CAPM and APT, Part 2: Applications and Tests | | | | Read BKM chapter 13, Jagannathan and McGrattan (1995) and Kritzman (1993). |
| | | | |
|
| Equity and Equity Options |
|
| | | | |
| 8 | | | | The Equity Market, Part 1: Patterns in the Cross-Section of Stock | | | | Returns Read Fama and French (1992). |
| | | | |
| | | | |
| 9 | | | | The Equity Market, Part 2: More Patterns in the Cross-Section of Stock Returns | | | | Read Cochrane (1999), Kritzman (1991a) and Kritzman (1991b). |
| | | | |
| | | | |
| 10 | | | | Equity Options, Part 1: Introduction | | | | Read BKM chapter 20. |
| | | | |
| | | | |
| 11 | | | | Equity Options, Part 2: Empirical Evidence, Volatility | | | | Read BKM chapter 21. |
| | | | |
| | | | |
| 12 | | | | Mid-term Exams | | | | |
| | | | |
|
| Fixed-Income and Credit-Sensitive Instruments |
|
| | | | |
| 13 | | | | The Fixed Income Market, Part 1: Introduction | | | | Read BKM chapter 14, Kritzman (1993). |
| | | | |
| | | | |
| 14 | | | | The Fixed Income Market, Part 2: The Yield Curve | | | | Read BKM chapter 15, Kao (1993). |
| | | | |
| | | | |
| 15 | | | | Futures, Swaps, Caps/Floors, Swaptions, and Other Derivatives | | | | BKM chapters 22 and 23. |
| | | | |
| | | | |
| 16 | | | | The Credit Market, Part 1: Default Risk, Credit Spreads and Ratings Transitions | | | | Read Duffie and Grleanu (2001). |
| | | | |
| | | | |
| 17 | | | | The Credit Market, Part 2: Credit Derivatives | | | | Read Reyfman and Toft (2001) and Altman, Caouette, Narayanan (1998). |
| | | | |
|
| "Active" Investments and Market Efficiency |
|
| | | | |
| 18 | | | | Market Efficiency | | | | Read BKM chapter 12, Rubinstein (2001) and Daniel and Titman (1999) and Fama (1998). |
| | | | |
| | | | |
| 19 | | | | Security Analysis and Stock Selections | | | | Read BKM chapters 17-19 and Business Week (2001). |
| | | | |
| | | | |
| 20 | | | | Active Portfolio Management | | | | Read BKM chapters 26 and 27, Thomas (2000), Waring, Whitney, Pirone and Castille (2000). |
| | | | |
| | | | |
| 21 | | | | Hedge Funds and Proprietary Trading | | | | Read Kritzman (1994a), Kritzman (1994b), Ross (1999) and Perrold (1999). |
| | | | |
| | | | |
| 22 | | | | Risk Management | | | | Read BKM chapter 27, Chow and Kritzman (2001), Bernstein (1995). |
| | | | |
| | | | |
| 23 | | | | Commodity | | | | Read BKM chapters 22 and 23. |
| | | | |
|
| Behavioral Finance and Summary |
|
| | | | |
| 24 | | | | Behavioral Finance | | | | Read Statman (1999). |
| | | | |
| | | | |
| 25 | | | | Summary and Review | | | | |
| | | | |
| | | | |
| 26 | | | | Repetition | | | | |
| | | | |
| | | | |
| 27 | | | | Final Exams | | | | |
| | | | |