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The course is focused on the analysis of realized and expected returns of various financial assets withing the framework of intertemporal modelling. Poslední úprava: Pošta Vít (13.01.2021)
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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. Poslední úprava: Pošta Vít (12.09.2023)
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R: COCHRANE, J.H. Asset Pricing, 2005. A: CUTHBERTSON, K., NITZSCHE, D. Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, 2nd Edition, 2004. Poslední úprava: Botek Marek (10.01.2020)
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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. Poslední úprava: Pošta Vít (12.09.2023)
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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. Poslední úprava: Pošta Vít (11.09.2020)
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| Zátěž studenta | ||||
| Činnost | Kredity | Hodiny | ||
| Účast na přednáškách | 1 | 28 | ||
| Příprava na přednášky, semináře, laboratoře, exkurzi nebo praxi | 1 | 28 | ||
| Příprava na zkoušku a její absolvování | 1 | 28 | ||
| 3 / 3 | 84 / 84 | |||