Investment Theory. Module 2, Fall 2006
Syllabus: in English and in
Russian
Home
assignment 2, code assigning stocks, data
Exam
with selected solutions
Cases
·
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
Final
exam with solutions
Handout on no-arbitrage pricing (in Russian)
Useful links