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Umeå University
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Syllabus:

Financial Economics II D21, 7.5 Credits

Swedish name: Finansiell ekonomi II D21

This syllabus is valid: 2014-07-21 valid to 2014-07-27 (newer version of the syllabus exists)

Course code: 2NE056

Credit points: 7.5

Education level: Second cycle

Main Field of Study and progress level: Economics: Second cycle, in-depth level of the course cannot be classified

Grading scale: Three-grade scale

Responsible department: Department of Economics

Revised by: Rector of Umeå School of Business and Economics, 2014-06-16

Contents

The course objective is to provide a deep understanding of decisions under uncertainty and portfolio management. The course covers different topics related to risk management such as how to measure risk, insurance decisions, optimal decision-making under uncertainty, and modern portfolio theory. Risk sharing and asset pricing are also covered. In particular, the course deals with the Capital Asset Pricing Model (CAPM), the consumption capital asset pricing model (CCAPM) and arbitrage pricing theory (APT). Martingale measures as well as value-at-risk measures are also covered.
 

Expected learning outcomes

Upon completing this course, students should;

- know how to use the formal models and tools needed to analyze decision-making under uncertainty,
- have a deep knowledge and understanding of modern portfolio theory,
- have a deep knowledge and understanding of the main asset pricing theories,
- be able to present empirical results within the area in a correct and structured way.
 

Required Knowledge

Mathematics for Economists I D7 and Econometrics I D12 or equivalent.

Form of instruction

The education is given in form of lectures and seminars.
 

Examination modes

The examination consists of written examination at the end of the course.

Students that not recieves the grade Pass or Pass with Distinction on the first exam have the possibility to write a second exam within a close time. Subsequently exam opportunities are given the next time the course is offered. In addition to these opportunities are all exams offered in August each year. Contact the study advisor for more information

Students with the grade Pass or Passed with Distinction are not eligible to write a new exam in order to raise the grade.
A student that has failed on two exams on the same module has the right to apply for a new lecturer correcting the exam. The application has to be sent to the rector of the USBE.

Credit Transfer
Academic credit transfers are according to the University credit transfer regulations.

Literature

Valid from: 2014 week 30

Tsay Ruey S.
Analysis of financial time series
3rd ed. : Hoboken, N.J. : Wiley : c2010. : xxiii, 677 p. :
ISBN: 978-0-470-41435-4 (cloth)
Mandatory
Search the University Library catalogue