180.367  Investments and Portfolio Management
This is an introductory course in investments. The course is broken into four parts. The first part covers the fundamental concepts of asset returns, risk, and riskaversion, and then studies how investors should optimally choose their portfolios given the observed patterns of risk and return. The second part of the course studies the reverse question: given how investors choose their portfolios, what are the equilibrium patterns of risk and expected return in financial markets: in other words, what is the expected return that various types of assets must earn to compensate investors for bearing their risk. The second question is studied in the context of two theories of returns: the capital asset pricing model and arbitrage pricing theory. The third part of the course studies the empirical evidence for and against the equilibrium theories of asset returns, with an emphasis on the evidence in support and against the efficient markets hypothesis. The fourth and final part of the course studies three classes of assets in more detail. The topics that are covered include models of equity valuation, bond valuation and hedging, and option valuation and hedging.
Problem Sets
Problem Set 1  Solutions
Problem Set 2  Solutions  Solutions Spreadsheet
Problem Set 3  Solutions  Solutions Spreadsheet
Problem Set 4  Solutions  Solutions Spreadsheet
Problem Set 5  Solutions
Exams (with solutions)
2014 First Midterm Exam
2014 Second Midterm Exam
2016 Spring Midterm Exam
2016 Fall Midterm Exam
2014 Final Exam
2016 Spring Final Exam
2016 Fall Final Exam
2017 First Midterm Exam
2017 Second Midterm Exam
Other Materials
Formula Sheet (for Midterm 1)
Formula Sheet (for Midterm 2)
Duration Example
Convexity Example
