Asset Pricing
and Portfoilio Theory
The powerpoint slides below can be used on an MSc
core course dealing with asset pricing and portfolio theory. The
slides broadly cover the key material in chapters 1 - 11 in Quantitative
Financial Economics (2nd edition).
The material in chapters 12 - 29 are generally taught
in specialist MSc and PhD courses and we cannot - second guess which
aspects will be chosen by individual lecturers (Powerpoint slides
for the figures in these chapters can also be found on this website).
On this site there are 4 further sets of Powerpoint
'lecture courses' on "Financial Management/Investments",
"Derivatives : An Introduction", "Advanced Derivatives"
and "Risk Management and Regulation", based on our other
2 books Investments : Spot and Derivatives Markets and
Financial Engineering : Derivatives and Risk Management,
which can also be used in conjunction with the powerpoint lecture
material in Quantitative Financial Economics.
Overview
: Asset Pricing and Portfolio Theory
Lecture
1 : The Basics
Lecture
2 : Utility and Risk Aversion
Lecture
3 : Valuation Models : Equities and Bonds
Lecture
4 : Efficient Markets and Predictability of Stock Returns
Lecture
5 : Portfolio Theory
Lecture
6 : International Portfolio Diversification / Practical Issues
Lecture
7 : The CAPM
Lecture
8 : Factor Models
Lecture
9 : Empirical Evidence : CAPM and APT
Lecture
10 : Applications of Linear Factor Models
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