Investments

Calendar

LEC #	TOPICS	READINGS
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
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
26	Repetition
27	Final Exams