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New from the academic year 2023/2024 Examination arrangementExamination arrangement: School exam Grade: Letter grades Evaluation Weighting Duration Grade deviation Examination aids School exam 100/100 4 hours C Course contentThis course deals with portfolio theory and the pricing of financial assets. The students learn how to construct portfolios that are mean-variance efficient and how to evaluate portfolio strategies and performance. Modelling of uncertainty is central for valuing financial assets and will be covered in detail. This modelling will be used to value assets both by numerical methods and the martingale approach. The course also introduces the students to pricing using the stochastic discount factor. Known asset-pricing puzzles relating to the equity premium and the risk-free rate will be discussed. Finally, the effect frictions in financial markets have on asset prices will be analyzed. Learning outcomeKnowledge You learn how frictions affect prices in financial marketsto construct (optimal) portfolios of risky- and risk-free assetshow to estimate financial prices by using analytical- and numerical methodsabout empirical puzzles, i.e., empirical facts which are not easily reconciled with theoretical modelshow expected returns, risk, and covariance affect sustainable portfolio choiceSkills You will know how to construct sustainable portfolioswhich pricing methods to choose when pricing financial assets, and being able to use themhow to analyze how investor characteristics affect financial prices and interest rateshow to address financial puzzlesGeneral skills You will know how to apply analytical tools to analyze well-known and new financial problemswhy risk is important for the functioning of financial markets and for construction of sustainable portfolios Learning methods and activities2 hours of lectures every week. The course has compulsory activity. Specific requirements will be announced at the beginning of the term. Compulsory assignments Compulsory activity Recommended previous knowledgeCompulsory courses in Master of Science in Financial Economics Required previous knowledgeNone Course materialsAnnounced at the beginning of the term. Credit reductions Course code Reduction From To FIN3005 5.0 AUTUMN 2023 |
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