Investment Theory. Module 2, Fall 2006

Syllabus: in English and in Russian

Lecture notes

Problems for the seminars

Home assignment 1

Home assignment 2, code assigning stocks, data

Exam with selected solutions

 

Cases

·        Taming your optimizer: A guide through the pitfalls of mean-variance optimization, Ibbotson Associates.

·        Revisiting the Capital Asset Pricing Model, interview of W. Sharpe, 1998. Discussion of CAPM vs APT and whether beta is really dead.

·        Coy and Woolley, Failed wizards of Wall street, 1998, Business Week. Discussion of strategies pursued by LTCM and other arbitrageurs.

 

Last-year materials

Lecture notes

Home assignment 1

Home assignment 2 and data

Final exam with solutions

Handout on no-arbitrage pricing (in Russian)

Option price properties

 

Useful links