Seminar I: Foundations of Financial Economics (FINA 8338)

Office Hours:
Tuesdays and Thursdays: 10:30-11:30 (MH 210-D) or by appointment.

Textbook:
Foundations for Financial Economics , by Chi-fu Huang and Robert H. Litzenberger, North-Holland, 1988.

Other useful references:
  • Theory of Financial Decision Making, by J. Ingersoll, Bowman and Littlefield, 1987.
  • Microeconomic Analysis, by H. Varian, Microeconomic Analysis, W.W. Norton, 1981.
    These texts will be supplemented by articles I will be assigning throughout the semester.

    Outline of the course:
    Introduction
    Individual Choice in the face of risk
    Portfolio Selection: Risk and Risk Aversion
    Mean-Variance Mathematics
    The Capital Asset Pricing Model (CAPM)
    Separation and Aggregation
    The Asset Pricing Theory (APT)
    Complete Markets and Efficiency
    Valuation of State Contingent Securities
    Introduction to Multiperiod Securities Markets


    Exams and Grading:
    Take-home Exams (75%) - Three to be scheduled (2/24, 3/21, 4/27?)
    Homework (25%) - Regular assignments at the end of each chapter

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