Microeconomic Theory - AM501005
Title: Microeconomic Theory
Guaranteed by: Department of Economics and Management (837)
Faculty: Central University Departments of UCT Prague
Actual: from 2020
Semester: summer
Points: summer s.:3
E-Credits: summer s.:3
Examination process: summer s.:
Hours per week, examination: summer s.:2/0, Ex [HT]
Capacity: unlimited / unknown (unknown)
Min. number of students: unlimited
Language: English
Teaching methods: full-time
For type: Master's (post-Bachelor)
Note: course can be enrolled in outside the study plan
enabled for web enrollment
Guarantor: Pošta Vít doc. Ing. Ph.D.
Interchangeability : M501005
Examination dates   
Last update: Pošta Vít doc. Ing. Ph.D. (13.01.2021)
The course is focused on the analysis of realized and expected returns of various financial assets withing the framework of intertemporal modelling.
Last update: Botek Marek Ing. Mgr. Ph.D. (10.01.2020)

R: COCHRANE, J.H. Asset Pricing, 2005.

A: CUTHBERTSON, K., NITZSCHE, D. Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, 2nd Edition, 2004.

Last update: Pošta Vít doc. Ing. Ph.D. (11.09.2020)

1. Decision-making under conditions of risk. Expected utility function. Attitude toward risk.

2. Intertemporal choice. Analysis of the effects of changes in returns and income on the decision-making.

3. CCAPM. Objective function. Constraint. Euler equation.

4. Analysis of the Euler equation. Risk premium of capital assets and its analysis.

5. Portfolio optimization. Sharpe’s model. Capital market line.

6. CAPM as an extension of the equilibrium of the capital market. Risk premium in CAPM and CCAPM.

7. Equity premium puzzle.

8. Spot, forward and swap interest rates and their relations.

9. Yield curves construction.

10. Term structure of the interest rates.

11. CCAPM and the determination of the term premium.

12. Options, setting up hedging portfolios.

13. Options, binominal model.

14. Sensitivity of option prices to changes in parameters of the model.

Course completion requirements
Last update: Pošta Vít doc. Ing. Ph.D. (11.09.2020)

The student needs to obtain at least 50 % of points in a written exam. The exam may be oral via MSTeams in case contact exam is not possible due to policy measures.