Investments

Catalog description

The first half of this course takes students through an in-depth study of portfolio theory. The foundations of modern portfolio theory are rigorously developed and its principles are used to create mean/variance efficient portfolios. Students critically examine the assumptions of modern portfolio theory and its implications. Alternative multifactor pricing models including the Fama/French Three-Factor Model are also explored. The second half of the course focuses on fixed income analytics. Students learn how to price various types of fixed income securities and how to measure their interest rate risk. They learn how to hedge interest rate risk for fixed income portfolios, and how to incorporate call and conversion features into the price of a bond. Students learn how to derive implied forward interest rates, how to bootstrap a yield curve, and the implications of various theories of the term structure. Finally, students will have the opportunity to conduct an event study, learn the basics of options, and discuss how behavioral finance is changing the way asset pricing is viewed. Case studies will be used to learn how hedge funds, mutual funds, exchange-traded funds, and various other investment managers operate. Note: This course is a prerequisite for students who wish to apply for participation in Aaron Selber Jr. Course on Distressed Debt ( FINE 7340 ) or Darwin Fenner Student-Managed Fund ( FINE 7610 ), and a co-requisite for participation in Aaron Selber Jr. Course on Hedge Funds ( FINE 7350 ).