Syllabus Of IM-
Chapter 1: Financial markets and instruments
Money and bond markets; Money market instruments; Bond market instruments; Equity markets; Equity instruments; Derivatives markets; Managed funds; Exchange traded funds; Exchange trading and over-the-counter trading; Clearing, settlements, margin trading, short sales and contingent orders; Regulation of financial markets.
Chapter 2: History of financial markets
History of financial innovation; Recent financial innovations (e.g., floating rate debt, zero-coupon bonds, poison-pill securities, swaps, futures); Investment returns in equity and bond markets; Equity premium puzzle.
Chapter 3: Fund management and investment
Historical mutual fund performance; Market efficiency and behavioral finance; Return based trading strategies; Performance of hedge funds; Statistical arbitrage.
Chapter 4: Market microstructure
Types of markets; Limit Order Markets; Bid-ask bounce (Roll); Adverse selection (Glosten-Milgrom); Optimal insider trading (Kyle); Market microstructure and investment analysis.
Chapter 5: Diversification
Expected portfolio returns and variance; Utility functions and expected utility; Risk aversion; The mean-variance problem; Capital allocation with other utility functions (CARA, CRRA); Estimating covariances: the index model; Abnormal returns: Treynor-Black model; Factor models.
Chapter 6: Portfolio immunization
Bond math; Term structure of interest rates; Yield to maturity; Duration; Immunization of bond and equity portfolios.
Chapter 7: Risk and performance measurement
Types of risk; Risk decomposition; Value-at-risk (VaR); Risk-adjusted performance measures; Performance measurement with changing portfolios (market timing).
Chapter 8: Risk management
Risk capital allocation; Put option protection; Portfolio insurance with calls; Nonlinear payoffs; Extreme risk; Hedging volatility; Hedging credit risk.
Literature:
- Essential reading:
- Bodie, Zvi, Alex Kane, and Alan J. Markus, Investments, McGraw Hill, 2005 (Sixth Edition) or a Later Edition – short: BKM
- Elton, Edwin J., Martin J. Gruber, Stephen J. Brown, and William N. Goetzmann, Modern Portfolio Theory and Investment Analysis, John Wiley, 2007 (Seventh Edition) or a Later Edition – short: EG
- Instefjord, Norvald, Investment Management Study Guide, London: University of London Press, 2009 or a Later Edition- short: SG
- Further reading:
- Brunnermeier, Markus K., Asset Pricing under Asymmetric Information – Bubbles, Crashes, Technical Analysis, and Herding, Oxford University Press, 2001- short: B
- Grinblatt, Mark and Sheridan Titman, Financial Markets and Corporate Strategy, McGraw Hill Irwin, 2002 (2nd Edition) – short: GT
- Hasbrouck, Joel, Empirical Market Microstructure, Oxford University Press, 2007 – short: J
- Lo, Andrew W., Hedge Funds: An Analytical Perspective, Princeton University Press, 2008 – short: L