Last Update: Everything is
now posted (Posted: Tuesday, November 15, 2011)
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Economics 282: Investment Finance Instructor: Pavel Kapinos Office: Willis 322 Email: pkapinos@carleton.edu Office hours: We 2-4; Tu 3-5; appt |
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Date |
Lecture |
References [Recommended} |
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September 13 (Tu) |
Lecture 1: Course Overview: Introduction to the class and investment finance |
BKM 1,2 |
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September 15 (Th) |
Lecture 2: Bonds 1—Bond Prices and Yields |
BKM 14.1-4 | Notes | Lecture2.xls | lecture2_examples.xlsx |
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September 20 (Tu) |
Lecture 3: Bonds 2—Term Structure of Interest Rates |
BKM 15.1-5 | Living Yield Curve | What Makes the Yield Curve Move | lecture3.xls |
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September 22 (Th) |
Lecture 4: Bonds 3—Managing Bond Portfolios |
BKM 16.1-3 [skip callable and mortgage-backed material], 15.6 | [Carleton Alum Is a Bond Fund Manager, Congress Pressures the Fed] | lecture4.xls |
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September 27 (Tu) |
Lecture 5: Swaps | Stocks 1—Security Analysis |
17,18.1-2 | Example 23.6 (pp. 804-805) | Notes |
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September 29 (Th) |
Lecture 6: Stocks 2—Pricing | Risk and Return |
BKM 18.3-4 | BKM 5.3-8 | Quincunx | [PE Ratios in Practice: Are Stocks Still Overvalued?] |
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October 4 (Tu) |
Lecture 7: Risk Aversion | Equity Premium Puzzle | Optimization | Statistical Review |
Notes on Risk Aversion | BKM Appendix A | Optimization Primer (3.2 is optional) | Stats Review |
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October 6 (Th) |
Lectures 1-6 | Problem sets 1—3 | Midterm I (Fall ’07), Midterm I (Winter ’10) |
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October 11 (Tu) |
Lecture 8: Capital Allocation between Risky and Risk-free Assets |
BKM 6 |
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October 13 (Th) |
Lecture 9: Optimal Risky Portfolios |
BKM 7 |
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October 18 (Tu) |
Lecture 10: Single-index Model | CAPM 1 |
BKM 8.1-3, 9.1-2,5 | lecture10.xls |
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October 20 (Th) |
Lecture 11: CAPM 2 | APT |
BKM 10 | lecture11.xls |
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October 25 (Tu) |
Lecture 12: Evaluating CAPM and APT: Empirical Evidence on Security Returns |
BKM 9.3-4, 13.1-3, 11.1-2 notes |
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October 27 (Th) |
Lecture 13: Market Efficiency, Anomalies, and Behavioral Finance |
BKM 11.3-4, 12 |
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November 1 (Tu) |
Lecture 14: Portfolio Performance Evaluation |
BKM 5.5, 8.4-5, 24 |
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November 3 (Th) |
Lectures 1-13 | Problem sets1—6 | Midterm II (Fall ’07), Midterm II (Winter ’10) |
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November 8 (Tu) |
Lecture 15: Options I—Strategies |
BKM 20.1-4 |
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November 10 (Th) |
Lecture 16: Options II—Pricing |
Class notes | BKM 21 | lecture16.xls |
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November 15 (Tu) |
Lecture 17: Options III—American vs. European | Course Overview |
Class notes | lecture17.xls |
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November 19 (Sa) |
Final: 12-2:30pm |
Everything |
Problem Sets:
PS1 | due on Thu, 9/22 | Solution, Excel
work
PS2 | due on Thu, 9/29 | Solution, Excel
work
PS3 | due on Tue, 10/4 | Solution
PS4 | due on Thu, 10/20 | Solution
PS5 (data)
| due on Thu, 10/27 | Solution, Excel
work: 1b, 2
PS6 | due on Tue, 11/1 | Solution
PS7 | due Tue, 11/15 | Solution
PS8 | Optional; ungraded | Solution
Extra Credit Assignment: Description | Groups | Stocks
Financial
Likbez:
What
Would Machiavelli Do? The Ends Justify the Meanness by Stanley Bing
The
Winner’s Curse by Richard Thaler
Animal
Spirits: How Human Psychology Drives the Macroeconomy,
and Why It Matters for Capitalism by George Akerlof
and Robert Shiller
Robert Haugen’s Quantitative
Investment website and his trilogy: The
Inefficient Stock Market: What Pays Off and Why, Beast
on Wall Street: How Stock Volatility Devours Our Wealth, and The
New Finance: Overreaction, Complexity, and Uniqueness
Fooled
by Randomness: The Hidden Role of Chance in Life and in the Markets by Nassim Taleb (The
Black Swan: The Impact of the Highly Improbable is also interesting)
T. F. Crack’s Heard
on the Street: Quantitative Questions from Wall Street Job Interviews
When
Genius Failed: The Rise and Fall of Long-term Capital Management by Roger
Lowenstein
Freefall
by Joseph Stiglitz
Fault
Lines: How Hidden Fractures Still Threaten the World Economy by Raghuram Rajan
The
Holy Grail of Macroeconomics: Lessons from Japan’s Great Recession by
Richard Koo
Manias,
Panics and Crashes: A History of Financial Crises by Charles Kindleberger, Robert Aliber, and
Robert Solow
Links:
Econ 110 (Spring
2011)
Macroeconomic updates: Global
Economic Forum by Morgan Stanley
Financial and Economic News: CNN Money,
Economist, Wall
Street Journal
Financial data and news: Yahoo! Finance,
Google Finance, Morningstar.com
Macroeconomic data for the US: FRED
II database by the Federal Reserve Bank of
Educational resources: Investopedia, Stock
Market Game, Wall Street Prep,
Beat the Market