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1 |
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Introduction |
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Read Course Syllabus, BKM chapters 1-2, Merton (1990) and Sharpe (1995) |
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2 |
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Securities, Random Walk on Wall Street |
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Read BKM chapters 3 and 5, Fama (1995) and Kritzman (1993). |
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Financial Theories |
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3 |
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Portfolio Theory, Part 1: Setting Up the Problem |
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Read BKM chapters 6 and 7, Elton and Gruber (2000) and Kritzman (1992). |
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4 |
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Portfolio Theory, Part 2: Skewness Preference and Dynamic Rebalancing |
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Read BKM Appendix A, B of chapter 6, Black (1995). |
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5 |
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Portfolio Theory, Part 3: Multiple Risky Assets |
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Read BKM chapter 8, Kritzman (1994) and Kritzman (1991). |
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6 |
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The CAPM and APT, Part 1: Theory |
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Read BKM chapters 9-11, Roll and Ross (1995) and Kritzman (1991). |
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7 |
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The CAPM and APT, Part 2: Applications and Tests |
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Read BKM chapter 13, Jagannathan and McGrattan (1995) and Kritzman (1993). |
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Equity and Equity Options |
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8 |
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The Equity Market, Part 1: Patterns in the Cross-Section of Stock |
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Returns Read Fama and French (1992). |
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9 |
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The Equity Market, Part 2: More Patterns in the Cross-Section of Stock Returns |
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Read Cochrane (1999), Kritzman (1991a) and Kritzman (1991b). |
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10 |
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Equity Options, Part 1: Introduction |
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Read BKM chapter 20. |
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11 |
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Equity Options, Part 2: Empirical Evidence, Volatility |
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Read BKM chapter 21. |
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12 |
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Mid-term Exams |
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Fixed-Income and Credit-Sensitive Instruments |
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13 |
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The Fixed Income Market, Part 1: Introduction |
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Read BKM chapter 14, Kritzman (1993). |
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14 |
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The Fixed Income Market, Part 2: The Yield Curve |
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Read BKM chapter 15, Kao (1993). |
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15 |
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Futures, Swaps, Caps/Floors, Swaptions, and Other Derivatives |
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BKM chapters 22 and 23. |
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16 |
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The Credit Market, Part 1: Default Risk, Credit Spreads and Ratings Transitions |
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Read Duffie and Grleanu (2001). |
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17 |
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The Credit Market, Part 2: Credit Derivatives |
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Read Reyfman and Toft (2001) and Altman, Caouette, Narayanan (1998). |
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"Active" Investments and Market Efficiency |
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18 |
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Market Efficiency |
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Read BKM chapter 12, Rubinstein (2001) and Daniel and Titman (1999) and Fama (1998). |
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19 |
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Security Analysis and Stock Selections |
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Read BKM chapters 17-19 and Business Week (2001). |
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20 |
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Active Portfolio Management |
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Read BKM chapters 26 and 27, Thomas (2000), Waring, Whitney, Pirone and Castille (2000). |
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21 |
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Hedge Funds and Proprietary Trading |
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Read Kritzman (1994a), Kritzman (1994b), Ross (1999) and Perrold (1999). |
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22 |
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Risk Management |
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Read BKM chapter 27, Chow and Kritzman (2001), Bernstein (1995). |
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23 |
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Commodity |
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Read BKM chapters 22 and 23. |
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Behavioral Finance and Summary |
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24 |
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Behavioral Finance |
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Read Statman (1999). |
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25 |
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Summary and Review |
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26 |
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Repetition |
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27 |
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Final Exams |
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