| 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 |
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| 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 |
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| 26 |
Repetition |
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| 27 |
Final Exams |
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