Overview:
- Credits:
- 5.0
- Level:
- 3
- Semester:
- Autumn
- Subject:
- Finance
- School:
- Business
- Coordinator:
- Dr Conall O'Sullivan
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Curricular information is subject to change
On completing this module students will be expected to be able to:
a) Appraise the theoretical and mathematical models used in financial economics.
b) Describe the trade off between risk and expected return and the key concepts in financial economics such as diversification, equilibrium and arbitrage.
c) Evaluate the application of financial models to real world market data in determining risk and expected return.
d) Critically analyse the role of financial economic models in modelling various aspects of financial markets.
Choices in the Presence of Uncertainty:
* Utility functions
* Expected utility
* Certainly equivalence
* Risk aversion
* Stochastic dominance
* Connections between utility theory and stochastic dominance
Modern Portfolio Theory
* Mean-variance optimisation
* Inclusion of the risk-free rate
* Separation theorems – one and two fund theorems
Capital Asset Pricing Model (CAPM)
* Market equilibrium
* Pricing model
* Security and capital market lines
Factor Models and Arbitrage Pricing Theory (APT)
* Single factor models
* CAPM as a factor model
* Connections between CAPM and APT
* Multifactor models
* Reduction of parameters in mean-variance optimisation
Student Effort Type | Hours |
---|---|
Lectures | 24 |
Tutorial | 12 |
Specified Learning Activities | 24 |
Autonomous Student Learning | 65 |
Total | 125 |
Not applicable to this module.
Description | Timing | Component Scale | % of Final Grade | ||
---|---|---|---|---|---|
Continuous Assessment: Group project on the application of financial economics model to financial data | Throughout the Trimester | n/a | Graded | No | 25 |
Continuous Assessment: Individual project on the application of financial economic models to data. | Throughout the Trimester | n/a | Graded | No | 15 |
Examination: This will be an end of semester final exam with a mix of descriptive, theoretical, and mathematical exam questions. | 2 hour End of Trimester Exam | No | Graded | No | 60 |
Resit In | Terminal Exam |
---|---|
Spring | Yes - 2 Hour |
• Group/class feedback, post-assessment
• Online automated feedback
Not yet recorded.
Name | Role |
---|---|
Mr Tianshu Jiang | Tutor |