lecture 1 advanced investment 高级投资教学课件.pdfVIP

Lecture Advanced Investments, September 5th, 2012 Basics of risk and return, portfolio theory Dr. P.J.P.M. (Philippe) Versijp Advanced Investments Lecture 1 – 5/9/12 1/38 Advanced Investments: objectives of the course • Understanding modern asset pricing and portfolio models: – Risk-return trade-off – Extentions of, and deviations from the standard models – Measurement issues – In theory and practice NB: we’ll focus on general patterns, not stock picking. • Being able to work with the above using empirical data – Excel / EVIEWS exercises (i.e. refeshing and expanding skills for your thesis) Advanced Investments Lecture 1 – 5/9/12 2/38 Advanced Investments: contents • Program for the course – Portfolio theory – CAPM: assumptions, empirics, testing – Anomalies – Return; influence and measurement – Portfolio management – Risk: what is risk – Bonds, foreign investments, derivatives – Role of information and behavioral aspects Advanced Investments Lecture 1 – 5/9/12 3/38 Contact Dr. Philippe Versijp – H14-27, versijp@ese.eur.nl – Office hours by appointment, always send an email Advanced Investments Lecture 1 – 5/9/12 4/38 Blackboard / Sin-online • Blackboard: – Announcements (all) – Sheets – Material computer exercises – Forum • SIN-online: http://few.sin-online.nl/channel/ – Changes in location, times etc. • Course code: FEM 11074