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

Learning outcomes

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 critically 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.

Content

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.

Examinations and grades

Examination, 6 credits (Code: A001)
Grades used are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

Assignment, 1.5 credits (Code: A002)
Grades used are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

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 determine which grading system is to be used. The grade must be determined by a teacher specifically nominated by the university (the examiner).

In accordance with university regulations on grading systems for first and second-cycle courses and study programmes (Vice-Chancellor’s decision ORU 2018/00929), one of the following grades is to be used: fail (U), pass (G) or pass with distinction (VG). For courses included in an international master’s programme (60 or 120 credits) or offered to the university’s incoming exchange students, the A to F grading scale is to be used. The vice-chancellor, or a person appointed by them, may decide on exceptions from this provision for a specific course, if there are special grounds for doing so.

The grades used on this course are Fail (F), Sufficient (E), Satisfactory (D), Good (C), Very Good (B) or Excellent (A).

Comments on grades

To obtain a passing grade for the course as a whole, a minimum of grade E is required for all examination moments on the course. To arrive at a course grade, the grades awarded for each examination moment, grades A-E, are first converted to the numerical values 5-1. An average value is then calculated, also taking into account the number of credits for each examination moment in relation to the total number of credits for the course. The course grade is thus awarded by means of a weighted average of the examination moments included on the course.

Modes of assessment

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

Written assignment, 1.5 credits (Code: A002)

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

For further information, see the university's local examination regulations.

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 Statistics, Basic Course, 15 credits and Data Mining and Business Analytics, Basic Course, 15 credits
alternatively
Statistics, Basic Course, 15 credits and 7.5 credits in regression analysis/econometrics/scientific method within economic or statistics. As well as English 6/English B.

For further information, see the university's admission regulations.

Other provisions

Reexamination
The spring semester reexamination will take place in August and thus replaces the additional reexam.

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.

Reading list and other learning resources

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