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Table Of Contents

1 Topic 1 – Expected Utility and Risk Aversion
1.1 How to Price a Security?
1.1.1 Expected Payoffs
The expected payoff of:
1.1.2 St. Petersburg Paradox
1.2 Expected Utility Theory
1.2.1 The Axioms of Preference
1.2.2 Utility Functions and Indifference Curve
1.3 Risk Aversion
1.3.1 Measuring Risk Aversion
2 Topic 2 – Review of Mathematics and Statistics
2.1 Random Variables
2.2 Moments
2.3 Comoments
2.4 Properties of Moments and Comoments
2.5 Linear Regression
2.6 Calculus and Optimization
2.6.1 Functions
2.6.2 Limits
2.6.3 Differentiations
2.6.4 Optimizations
3 Topic 3 – Risk and Return
3.1 The Definition of Return
3.2 The Definition of Risk
3.3 The History of U.S. Return
3.4 International Evidence
3.5 Real and Nominal Rates of Interest
4 Topic 4 – Portfolio Theory
4.1 Portfolio Risk and Return
4.1.1 Portfolio of Two Assets
4.1.2 Portfolio of Multiple Assets
4.2 Diversification
4.3 Optimal Portfolio Selection
4.3.1 Case 1: One Risky Asset + Risk Free Asset
4.3.2 Case 2: Two Risky Assets + Risk Free Asset
4.3.3 Case 3: More than Two Risky Assets + Risk Free Asset
4.4 Appendix – Portfolio Analysis Using Excel
4.4.1 Mean-Variance Efficient Portfolio
5 Topic 5 – Capital Asset Pricing Model (CAPM)
5.1 The Market Portfolio
5.2 Derivation of the CAPM
5.3 Implications of the CAPM
5.3.1 Two Important Graphs
5.3.2 Replicating the Beta
5.4 Risk in the CAPM
5.4.1 CML and SML: A Synthesis
5.5 Estimating Beta
5.6 Empirical Tests of the CAPM
5.6.1 Time-series Tests of the CAPM
6.1.2 The Market Model Variance Decomposition
6.1.3 The Inputs to Portfolio Analysis
6.1.4 The Market Model and Diversification
6.2 Multifactor Models
The multifactor model:
6.2.1 Factor Models for Portfolios
6.2.2 Tracking Portfolios
6.2.3 Pure Factor Portfolio
6.2.4 Risk Premiums of Pure Factor Portfolios
7 Topic 7 – Arbitrage Pricing Theory (APT)
7.1 Derivation of the APT
7.1.1 Single Factor APT
7.1.2 Two-Factor APT
7.1.3 Multifactor APT
7.2 Comments on APT
7.2.1 Strength and Weaknesses of APT
7.2.2 Differences between APT and CAPM
8 Topic 8 – Anomalies and Market Efficiency
8.1 CAPM and the Cross-section of Stock Returns
8.2 Size Effect
8.3 Value Effect
8.3.1 The Glamour and Value Strategies
8.4 Momentum Investing Strategies
8.5 Efficient Market Hypothesis
8.5.1 Empirical Tests of Efficient Market Hypothesis
9 Topic 9 – Fixed Income Securities
9.1 Fixed Income Securities and Markets
9.1.1 Types of Fixed Income Securities
9.2.1 Coupon Bond
9.2.2 Zero-Coupon Bond
9.3 Dirty Price, Clean Price and Accrued Interest
9.4 Conventional Yield Measures
9.4.1 Current Yield
9.4.2 Yield-to-Maturity
9.5 Default Risk
9.5.1 Traditional Credit Analysis
9.6 Interest Rate Risk
9.6.1 Price Volatility and Bond Characteristics
9.6.2 Duration
9.6.3 The Determinants of Duration
9.6.4 Convexity
9.6.5 Immunization
10 Topic 10 – Term Structure of Interest Rates
10.1 The Yield Curve
10.1.1 Using the Yield Curve to Price a Bond
10.1.2 Constructing the Theoretical Spot-Rate Curve
10.2 Spot and Forward Interest Rates
10.3 Theories of the Term Structure
10.3.1 The Expectation Hypothesis
10.3.2 Liquidity Preference
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EF3320 Semester B 2009 - 2010 Course Package

EF3320 Semester B 2009 - 2010 Course Package

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Published by WilsonMo

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Published by: WilsonMo on Sep 06, 2010
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03/31/2013

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