Universität Wien
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040168 KU Foundation of Financial Economics (MA) (2020W)

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Prüfungsimmanente Lehrveranstaltung
Moodle

An/Abmeldung

Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").

Details

max. 50 Teilnehmer*innen
Sprache: Englisch

Lehrende

Termine (iCal) - nächster Termin ist mit N markiert

Midterm on 19 Nov. 2020
Endterm digitally via moodle on 28. January 2021, 1.15 pm

  • Donnerstag 01.10. 13:15 - 14:45 Digital
  • Donnerstag 08.10. 13:15 - 14:45 Digital
  • Donnerstag 15.10. 13:15 - 14:45 Digital
  • Donnerstag 22.10. 13:15 - 14:45 Digital
  • Donnerstag 29.10. 13:15 - 14:45 Digital
  • Donnerstag 05.11. 13:15 - 14:45 Digital
  • Donnerstag 12.11. 13:15 - 14:45 Digital
  • Donnerstag 19.11. 13:15 - 14:45 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Donnerstag 26.11. 13:15 - 14:45 Digital
  • Donnerstag 03.12. 13:15 - 14:45 Digital
  • Donnerstag 10.12. 13:15 - 14:45 Digital
  • Donnerstag 17.12. 13:15 - 14:45 Digital
  • Donnerstag 07.01. 13:15 - 14:45 Digital
  • Donnerstag 14.01. 13:15 - 14:45 Digital
  • Donnerstag 28.01. 13:15 - 14:45 Digital

Information

Ziele, Inhalte und Methode der Lehrveranstaltung

The course ‘Foundations in Finance’ aims at a thorough understanding of the fundamental concepts in Finance. It is designed to provide a solid foundation and skillset for specialised studies in finance and financial economics.
In this course, we are starting with preferences and decision making as the underlying force driving individuals’ interaction with the market. We introduce the utility function and its maximization under constraints in portfolio optimization problems. We also explore deviations from rationality in the decision-making process through behavioral preferences and perceptions.
In the second part of the course we evaluate the investment opportunity set with respect to the mean return and the variance of returns. We first examine the potential mean-variance-combinations we can achieve by changing portfolio weights in a portfolio of two assets. Then, we extend the model to multiple assets and introduce a risk-free asset. The mean-variance optimization in the market leads to the CAPM (with risk-free asset) and the Zero-beta-CAPM (without risk-free asset).
In the third part of the course we introduce state-contingent claims, which offer us the opportunity to price a payment at one specific time and state in the future. We discuss the relationship between the assets available for trade and market completeness. Additionally, we discuss how to complete the market through the introduction of additional assets (such as options).
Finally, we are going to cover factor models, in which specific factors are used to explain the return generating process. The assumption of quasi-completeness of the market leads to the APT (Arbitrage Pricing Theory).
The topics of the course follow are summarized below:
PART 1: Decisions under Uncertainty
• Preferences under certainty
• Expected utility theory
• Risk aversion and stochastic dominance
• Portfolio optimization problems
• Behavioral Biases in preferences and perceptions
o Allais paradox
o Prospect theory
o Epstein-Zin preferences
PART 2: Capital Asset Pricing Model
• Investment opportunities in the mean-variance space
o Two assets without risk-free asset
o Multiple assets without risk-free asset
o Multiple assets with risk-free asset
• CAPM
• Zero-beta CAPM
PART 3: Complete Markets and Arrow Debreu Pricing
• Arrow-Debreu setup and state-contingent claims
• Market completeness
• Pareto-optimality
• Completing the market with options
PART 4: Arbitrage Pricing
• Factor models
• Arbitrage Pricing Model (APT)

Art der Leistungskontrolle und erlaubte Hilfsmittel

The evaluation in this course will be based on four components:
The first component is a group presentation. In each week, starting week 3, a group of students presents the solution to a specified problem on the problem set at the beginning of the lecture.
The second component is a participation-based grade. The hand-in of a problem set is required for at least 8 weeks in the semester (out of 10 possible dates). When the problem set scores half of the possible points and minimum standards of lecture participation are met, full points are assigned.
The third and fourth components are a midterm exam in the eighth session and a final exam at the end of the course.

Mindestanforderungen und Beurteilungsmaßstab

7% Group Presentation

8% Problem Set Hand-in

40% Mid-term Exam

45% Final Exam

Prüfungsstoff

The midterm exam covers weeks 1-6 and the final exam covers all course content, with a focus on the course content not covered in the midterm.

Literatur

Danthine, Jean-Pierre, and John B. Donaldson. Intermediate Financial Theory. Third Edition, Academic Press, 2014.

Hens, Thorsten; Rieger, Marc Oliver. Financial Economics: A Concise Introduction to Classical and Behavioral Finance. Springer (New York), 2016.

Zuordnung im Vorlesungsverzeichnis

Letzte Änderung: Fr 12.05.2023 00:12