Empirical modeling of financial data, financial econometrics and applying methods of asset management.
Empirical modeling of financial data, financial econometrics and applying methods of asset management.
This course of advanced finance consists of two parts. The first part introduces students to financial econometrics, including financial modeling (CAPM, Fama-French model,...) and modeling of volatility (GARCH and related models, implied volatility, forecasting volatility ...). The second part presents advanced techniques in portfolio management ( small cap- large cap, value - growth, momentum effects,...) and expected results if these models are applied. It also tackles the characteristics of long-term returns of various financial assets (stocks, bonds, private equity, oeuvres d'art, real estate,...).
Written exam and presentations made by the students (in groups). The final mark is made up of 60% of the mark of the written exam and 40% of the mark of the group work.
Slides and papers made available at the first course. Asset price dynamics, volatility and prediction (S. Taylor, Princeton University Press, 2007).