Course - Asset Pricing and Portfolio Management - FIN3009
FIN3009 - Asset Pricing and Portfolio Management
About
New from the academic year 2023/2024
Examination arrangement
Examination arrangement: School exam
Grade: Letter grades
| Evaluation | Weighting | Duration | Grade deviation | Examination aids |
|---|---|---|---|---|
| School exam | 100/100 | 4 hours | C |
Course content
This course deals with portfolio theory and the pricing of financial assets. The students learn how to construct portfolios that are mean-variance efficient and how to evaluate portfolio strategies and performance. Modelling of uncertainty is central for valuing financial assets and will be covered in detail. This modelling will be used to value assets both by numerical methods and the martingale approach. The course also introduces the students to pricing using the stochastic discount factor. Known asset-pricing puzzles relating to the equity premium and the risk-free rate will be discussed. Finally, the effect frictions in financial markets have on asset prices will be analyzed.
Learning outcome
Knowledge
You learn
- how frictions affect prices in financial markets
- to construct (optimal) portfolios of risky- and risk-free assets
- how to estimate financial prices by using analytical- and numerical methods
- about empirical puzzles, i.e., empirical facts which are not easily reconciled with theoretical models
- how expected returns, risk, and covariance affect sustainable portfolio choice
Skills
You will know
- how to construct sustainable portfolios
- which pricing methods to choose when pricing financial assets, and being able to use them
- how to analyze how investor characteristics affect financial prices and interest rates
- how to address financial puzzles
General skills
You will know
- how to apply analytical tools to analyze well-known and new financial problems
- why risk is important for the functioning of financial markets and for construction of sustainable portfolios
Learning methods and activities
2 hours of lectures every week. The course has compulsory activity. Specific requirements will be announced at the beginning of the term.
Compulsory assignments
- Compulsory activity
Recommended previous knowledge
Compulsory courses in Master of Science in Financial Economics
Required previous knowledge
None
Course materials
Announced at the beginning of the term.
Credit reductions
| Course code | Reduction | From | To |
|---|---|---|---|
| FIN3005 | 5.0 | AUTUMN 2023 |
No
Version: 1
Credits:
7.5 SP
Study level: Second degree level
Term no.: 1
Teaching semester: AUTUMN 2023
Language of instruction: English
Location: Trondheim
- Financial Economics
- Economics
- Social Sciences
Examination
Examination arrangement: School exam
- Term Status code Evaluation Weighting Examination aids Date Time Examination system Room *
- Autumn ORD School exam 100/100 C 2023-12-05 15:00 INSPERA
-
Room Building Number of candidates SL310 turkis sone Sluppenvegen 14 26 - Spring ORD School exam 100/100 C 2024-05-29 15:00 INSPERA
-
Room Building Number of candidates SL311 brun sone Sluppenvegen 14 18
- * The location (room) for a written examination is published 3 days before examination date. If more than one room is listed, you will find your room at Studentweb.
For more information regarding registration for examination and examination procedures, see "Innsida - Exams"