This course introduces some basic modeling skills for analyzing financial data like equity returns. It will provide a foundation of basic theory and methodology as well as applied examples with essential statistical and computational techniques to analyzing financial data.

Course Materials

• Syllabus
• Slides:
  • 1: Equity Returns and the Random Walk Model
  • 2: Portfolio Selection
  • 3: Capital Asset Pricing Model
  • 4: Arbitrage Pricing Theory and Factor Models

Course Outline

• Equity returns and the random walk model
• Portfolio theory: Risky returns and efficient portfolios
• The Capital Asset Pricing Model
• Factor models

Grading (50%)

• Class participation: 5%
• Assignments: 10%
• Final exam: 35%