Economics, Asset Pricing and Management, Second Cycle, 7.5 credits

Aims and objectives

General aims for second cycle education

Second-cycle courses and study programmes shall involve the acquisition of specialist knowledge, competence and skills in relation to first-cycle courses and study programmes, and in addition to the requirements for first-cycle courses and study programmes shall

• further develop the ability of students to integrate and make autonomous use of their knowledge
• develop the students' ability to deal with complex phenomena, issues and situations, and
• develop the students' potential for professional activities that demand considerable autonomy, or for research and development work.

(Higher Education Act, Chapter 1, Section 9)

Course objectives

After completing the course the student should be able to:

• Analyze and solve quantitative portfolio choice problems with multiple assets
• Describe and compare models for asset valuation
• Evaluate the empirical evidence from research and relate to practical limitations
• Describe and analyze the causes of time-varying risk and return and how they affect portfolio choice and asset valuation
• Analyze and estimate models for asset valuation with multiple risk factors
• Describe and analyze active management and implement evaluation of management performance.

Main content of the course

The course covers risk measures and risk preferences, optimal portfolio choice, different models for the pricing of financial assets, consumption-based and intertemporal models for asset valuation, multiple risk factors, empirical estimates and testing and active management.

Teaching methods

Teaching is done in the form of teaching lessons and exercises.

Students who have been admitted to and registered on a course have the right to receive tuition and/or supervision for the duration of the time period specified for the particular course to which they were accepted (see, the university's admission regulations (in Swedish)). After that, the right to receive tuition and/or supervision expires.

Examination methods

Examination, 6 credits (Code: A001)
Written individual examination.

Assignment, 1.5 credits (Code: A002)

For students with a documented disability, the university may approve applications for adapted or other forms of examinations.

For further information, see the university's local examination regulations (in Swedish).

Grades

According to the Higher Education Ordinance, Chapter 6, Section 18, a grade is to be awarded on the completion of a course, unless otherwise prescribed by the university. The university may prescribe which grading system shall apply. The grade is to be determined by a teacher specifically appointed by the university (an examiner).

According to regulations on grading systems for first- and second-cycle education (vice-chancellor's decision 2019-01-15, ORU 2019/00107), one of the following grades is to be used: fail, pass, or pass with distinction. The vice-chancellor or a person appointed by the vice-chancellor may decide on exceptions from this provision for a specific course, if there are special reasons.

Grades used on course are Fail (U), Pass (G) or Pass with Distinction (VG).

Examination
Grades used are Fail (U), Pass (G) or Pass with Distinction (VG).

Assignment
Grades used are Fail (U), Pass (G) or Pass with Distinction (VG).

For further information, see the university's local examination regulations (in Swedish).

Comments on grades

Grades used on course are Fail (U), Pass (G) or Pass with Distinction (VG). To receive a Pass (G) for the course, the student must pass the written examination and pass the assignment. To receive a Pass with Distinction for the course, the student must achieve a Pass with Distinction in the written examination and pass the assignment.

The final grade will be translated into the ECTS grading scale.

Specific entry requirements

A total of 9 credits from Economics, Corporate Finance, Second cycle, 7.5 credits and Economics, Financial Economics and Ethics, Second Level, 7.5 credits. In addition, basic statistics, 15 credits and 7.5 credits in regression analysis / econometrics / scientific method in economics or statistics are required. As well as English 6/English B.

For further information, see the university's admission regulations (in Swedish).

Transfer of credits for previous studies

Students who have previously completed higher education or other activities are, in accordance with the Higher Education Ordinance, entitled to have these credited towards the current programme, providing that the previous studies or activities meet certain criteria.

For further information, see the university's local credit transfer regulations (in Swedish).

Reading list and other teaching materials

Required Reading

Bodie, Zvi, Kane, Alex & Marcus, Alan (latest edition)
Investments
McGraw-Hill

Additions and Comments
Scientific articles, lecture materials and exercises, in total 300 pages.
Parts of the course refer to:
Andrew Ang: Asset Management, Oxford University Press, latest edition