Lectures Mon BLT100/106-100 at 11am - 1pm

Workshops Wed BLT100/106-100 at 11am - 1pm

Week Date Topic Description Required Reading

1 Mon, 17 Jul 1 Introduction to lectures Course outline
2 Investors, assets and markets BKM Ch 1, 2, 3, 4
Wed, 19 Jul Workshop introduction
2 Mon, 24 Jul 3 Real-world frictions, investment styles Class notes
4 Risk and return, expectations, utility BKM Ch 5, 6
Wed, 26 Jul Topic 3 and 4 workshop
3 Mon, 31 Jul 5 Markowitz mean-variance analysis BKM Ch 7 (incl Appendix B)
6 Black-Litterman BKM Ch 27.3
Wed, 2 Aug Topic 5 and 6 workshop
4 Mon, 7 Aug 7 OLS Class notes
8 CAPM and APT BKM Ch 9, 10
Wed, 9 Aug Topic 7 and 8 workshop
5 Mon, 14 Aug 9 Market Efficiency BKM Ch 11
10 Behavioural finance and limits to arbitrage BKM Ch 12.1, Barberis and Thales (2002)
Wed, 16 Aug Topic 9 and 10 Workshop
6 Mon, 21 Aug Quiz 1 - Online during class time

Wed, 23 Aug [No workshop]

MID TERM BREAK

7 Mon, 11 Sep Empirical evidence BKM Ch 13

Return predictability Class Notes
Wed, 13 Sep Topic 11 and 12 workshop
8 Mon, 18 Sep 13 Anomalies and factor models Hou, Xue & Zhang (2018)
14 Financial machine learning Gu, Kelly & Xiu (2020)
Wed, 20 Sep Topic 13 and 14 workshop
9 Mon, 25 Sep 15 Review of bond prices and yields BKM Ch 14
16 Term structure of interest rates BKM Ch 15
Wed, 27 Sep Topic 15 and 16 workshop
10 Mon, 2 Oct 17 Bond portfolios and risk management BKM Ch 16
18 Structured products and Securitisation Class notes
Wed, 4 Oct Topic 17 and 18 workshop
11 Mon, 9 Oct Quiz 2 - In class during class time

Wed, 11 Oct [No workshop]

12 Mon, 16 Oct 19 External speaker [Not examinable]

Wed, 18 Oct [No workshop]