Capital Markets (SFI)
People
Course director
Description
Prerequisites
The course assumes some knowledge of basic economic concepts such as: prices, returns, demand, and supply. Also, one needs to be familiar with the mathematical concept of maximization/minimization of a function. Some knowledge of statistics is required too. In particular, you will need to know about mean, variance, covariance, and correlation of random variables. Also, we will refer extensively to the normal probability distribution. All these concepts will be reviewed during the practical sessions.
Course description
The course is an introduction to the institutions and economic functioning
of capital markets. First, the course provides a general description of
the basic features of these markets: the asset classes, the trading mechanisms,
and the main actors. Then, it deals with individual portfolio choice.
Next, individual portfolios are aggregated to derive the main concepts
of equilibrium in equity markets (CAPM, APT). These concepts are used
to introduce the notion of market efficiency. The empirical evidence on
market efficiency is discussed and analyzed from the point of view of classical
and alternative theories of capital markets, such as Behavioral Finance.
As a new chapter, the course deals with fixed income securities (prices,
yields, the term structure, and bond portfolios management). The course
then examines the tools that financial analysts use to make investment
decisions (macroeconomic and equity analysis). Finally, all the notions
developed during the course are used to study applied portfolio management.
In this context, the tools to analyze the performance of different
types of investment funds are introduced.
List of Topics
Introduction
Portfolio Theory
Equilibrium in Capital Markets
Fixed-Income Securities
Security Analysis
Active Portfolio Management
Textbook
Z. Bodie, A. Kane, A.J. Marcus, Investments, McGraw Hill, 2008. 7th edition.
The relevant chapters will be announced in class.
Education
- Master of Science in Economics in Banking and Finance (until A.Y. 2017), Foundation course, 1st year
- Master of Science in Economics in Economic Policy (until A.Y. 2018), Elective course, 2nd year
- Master of Science in Economics in Finance (until A.Y. 2017), Foundation course, 1st year
- Master of Science in Financial Technology and Computing, Core course, Lecture, 1st year