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