ECON-4751 Financial Economics Fall 2013 (B. Zurowski)
Homework #2 : Due Thursday, October 17th
Submission Requirements: Type It Explain Your Work Give Credit to Collaborators
There are four questions. Each question is worth the same number of points.
Q1.
ECON-4751 Financial Economics Fall 2013 (B. Zurowski)
Homework #2 : Due Thursday, October 17th
Submission Requirements: Type It Explain Your Work Give Credit to Collaborators
There are four questions. Each question is worth the same number of points.
Q1.
Money and Banking
Week 2 - Part I
Martin Rostagno
University of Minnesota
UMN (University of Minnesota)
Econ 4721 2-1
1 / 12
Outline
1
Pareto Ecient Allocations
UMN (University of Minnesota)
Econ 4721 2-1
2 / 12
Pareto Ecient Allocations
What is the idea
ECON 4751 Fall 2013: Homework 5. Due Dec. 11, 2013 (4:30PM at the latest)
Type It & Print It Show Your Work Give Credit to Collaborators
All rates are annual.
(25) Q1.
Price the following bonds:
Keep in mind that US Treasury and corporate bonds make coupo
Financial Economics
Econ 4751
Fall 2014
Midterm Exam
October 7, 2014
Name:
Answer all questions as best you can. The highest possible score is 100 points. You 1
hour and 15 minutes to complete the exam. Good luck!
Section 1: Multiple Choice (2 points eac
Financial Economics
Econ 4751
Spring 2015
Problem Set 1
You may work on this assignment in groups, but must hand in your own individual assignment.
Put the names of anyone you worked with on your assignment when you hand it in. Copies that
dont give credi
Financial Economics
Econ 4751
Fall 2014
Midterm Exam
October 7, 2014
Name:
Answer all questions as best you can. The highest possible score is 100 points. You 1
hour and 15 minutes to complete the exam. Good luck!
Section 1: Multiple Choice (2 points each
Homework 1, Financial Economics Summer 2011, Instructor Rene Schwengber Due date: Tuesday June 28th. Before answering these questions make sure you read all handouts as well as required reading, your class notes. If you think a question is not clear send
1. According to the Capital Asset Pricing Model (CAPM) a well diversified portfolio's rate of return is
a function of
A. systematic risk.
B. unsystematic risk.
C. unique risk.
D. reinvestment risk.
E. interest rate risk.
With a diversified portfolio, the
Chapter 9
Capital Asset Pricing Model
(CAPM)
CAPM is a partial equilibrium theory which
predicts equilibrium rates of return, taking the
characteristics of financial assets (expected
market return, variance, covariance) as given
We will find two main nu
Chapter 8
Index Models
Motivation
Markowitz models for portfolio selection can
become complicated
For n securities, need about n2/2 estimates for
covariance matrix: With n=3000, this is 4.5 million
Internal inconsistencies in covariance estimates
can p
Financial Economics
Econ 4751
Spring 2015
Midterm Study Supplement
Here are the formal statements of some problems we have studied:
Asset Allocation Problem
1 2
U (rc , c ) = E(rc ) Ac
y
2
subject to 0 y 1
min
E(rc ) = yE(rp ) + (1 y)rf
c = yp
Minimum Var
Financial Economics
Econ 4751
Spring 2015
Problem Set 2
Due Tuesday, April 7, 2015 in class
You may work on this assignment in groups, but must hand in your own individual assignment.
Put the names of anyone you worked with on your assignment when you han
Chapter 7
Optimal Risky Portfolios
Overview
Portfolio is subject to systematic risk and firmspecific risk
We can reduce firm-specific risk by
diversification
When two assets with positive expectation
have low or negative correlation, variance is
reduce
Money and Banking
Week 6 - Part I
Martin Rostagno
University of Minnesota
UMN (University of Minnesota)
Econ 4721 6-1
1 / 14
Outline
1
Phillips Curve
2
The Lucas Model
3
The Lucas Critique
UMN (University of Minnesota)
Econ 4721 6-1
2 / 14
Introduction
Ba
Financial Economics
Econ 4751
Fall 2014
Midterm Exam
October 7, 2014
Long Answer
15. Consider investors X, Y, and Z with utility U (r) = E(r) (1/2)A 2 . Investor X has AX = 0,
Y has AY = 2, and Z has AZ = 500. Each of them must decide what proportion, y,
Chapter 11
Efficient Market Hypothesis
Can Future Stock Prices Be Predicted?
Maurice Kendall (1953) The Analysis of
Economic Time Series, Part I: Prices
Various econometric methods were tried.
Found no pattern that would predict future
stock prices (doe
General ideas:
Book review
Summary of an academic paper or a survey of literature
News item or something from The Economist
Discussion of equity ratings reports
Trading Strategies
History of some fina
Name:
3022 In-class practice 2
Problem 1
What test should we use matched pairs t or two sample t?
1. Comparing vitamin content of bread immediately after baking vs. 3 days later
(tests made on dierent set of loaves).
2. Comparing vitamin content of bread
Money and Banking
Week 7 - Part I
Martin Rostagno
University of Minnesota
UMN (University of Minnesota)
Econ 4721 7-1
1 / 34
Outline
1
Introduction
2
Equilibrium without at money
3
Model of Private Debt
4
Rate-of-Return Equality
5
Tobin Eect
6
Risk
UMN (U
Basic spirit
Theoretical background
Application examples of two-sample t procedure
The Wilcoxon Rank-Sum Test
The Permutation Test
Two sample t test and its Nonparametric
Alternatives
Qi Yan
STAT 3022, Summer 2014
1 / 42
Basic spirit
Theoretical backgroun
Chapter 6
Risk Aversion and
Allocation to Risky Assets
Recall Micro Theory
Indifference Curves
Good B
U3
U2
U1
Budget Line
Good A
Portfolio Choice: Capital Allocation
$
Spending
(Consumption)
Saving
(Investment)
Risk-Free Asset
Risky Asset
In this chapter
Behavioral Finance
Part 2
Investor Sentiment
On the last slides, we considered under what
circumstances the rational choice model, and
the EMH, might not give us accurate
predictions about what markets will do.
Now, were going to look at possible
behavi
Financial Economics
Econ 4751-002
Spring 2014
Syllabus
Instructor: Will Roberts
Instructor Contact Information
Will Roberts
rober827@umn.edu
Oce: 3-131 Hanson Hall
Oce Hours: 1:30-3:30 Wednesdays
Website: https:/sites.google.com/site/wjr827/
Course Descri
Behavioral Finance
What is behavioral finance?
Following Shleifer (2000), behavioral finance is
the study of human fallibility in competitive
markets
Two major components: limited arbitrage and
investor sentiment
Arbitrage
Arbitrage is a risk-free oppo
ECON-4751
Financial Economics
Chapter 1
An investment is the current commitment of
money or other resources in expectation of
future benefits.
We distinguish between real and financial
assets. This course focuses on investments in
financial assets.
Real
Derivatives:
Options and Futures
Derivatives
Derivatives are financial assets that have
values determined by the prices and attributes
of other financial assets (hence, they are
derived from those assets)
The derivatives themselves can be traded in
the
Project 1
UNIVERSITY OF MINNESOTA
ECON 4751 - Financial Economics
Due Tuesday, October 25th, 2016
Instructions: This project is designed to help you apply what you have learned about
optimal portfolio construction. You may use either Excel or Stata to com
Chapter 14
Bond Prices and Yields
Chapter 14 Overview
Bond Characteristics & Types
Bond Pricing: Present Value & Discounting
Yields
Bond Prices over Time
Default Risk, Credit Ratings, and Financial
Innovations
Definitions
Par Value, or face value, i
Chapter 11
Efficient Market Hypothesis
Can Future Stock Prices Be Predicted?
Maurice Kendall (1953) The Analysis of
Economic Time Series, Part I: Prices
Various econometric methods were tried.
Found no pattern that would predict future
stock prices (doe
Chapter 9
Capital Asset Pricing Model
(CAPM)
The Capital Asset Pricing Model (CAPM) is a
model that allows us to determine equilibrium
expected returns, taking the characteristics of
financial assets (expected market return,
variance, covariance) as give