(in Polish) Ekonomia finansowa 2600-MFBRdz1EF
LECTURE
Basic concepts of financial economics
Equilibrium on the financial market (stock market, agent theory, consumption and selection portfolio, priority conditions, general equilibrium, existence and invariance of equilibrium, models of representative agents)
Basic models and tests on financial markets
Prediction of rates of stock prices
Linear prices and the functioning of returns, linear equilibrium, prices on regulated markets, optimization problem
Arbitrage and strong arbitrage, diagram representation, cost function, arbitrage and optimal portfolios, balance valuation
Portfolio restrictions (short selling restrictions, portfolio selection under short selling restrictions, one price right, limited and unlimited arbitration, equilibrium rate)
Volatility and equilibrium theory, prices and neutral risk, portfolio volatility and limitations
Risk and expected utility, von Neumann-Morgenstern theory, utility axioms in state control conditions, expected utility axioms
Risk aversion and risk neutrality, Arrow-Pratt measures of risk aversion, risk compensation, Pratt theory, risk aversion
Optimal portfolios (portfolio selection and wealth, optimal single-risk portfolios, risk premium and optimal portfolios, optimal portfolios when the risk premium is low)
Comparative statistics of optimal portfolios (wealth, unexpected returns, risk)
Optimal portfolios taking into account several risks (return on risk, optimal portfolios under fair valuation conditions, risk premium and optimal portfolios, optimal portfolios within line risk tolerance)
Equilibrium price and allocation (returns at equilibrium, expected returns at equilibrium, variability of marginal returns)
Competitive markets and Pareto risk allocation balance
Analysis of variance
Factor valuation (valuation errors, average structure valuation)
Long-term forward markets (imbalance on long-term financial markets, imbalance and information, asset range, first equilibrium condition, arbitration, dynamic markets, event analysis, Pareto equilibrium)
Rational bubbles and learning
Behavioral and anomalously market finances
Models of market behavior
EH testing theory
Affine and SDF models
CIP, UIP and FRU testing
Investments and bankruptcy theory
ESG as a new factor of financial risk
EXERCISES
Financial economics basic concepts
Modeling of financial markets (normality tests, random walk, cointegration, monte carlo simulation)
EMH testing
Prediction of stock prices using residual tests, ECM, non-nonlinear models, Markov models
Building balance under rope prices
Arbitrage and valuation
Modeling under portfolio constraints
Risk modeling when making investment decisions
Risk aversion
Optimal portfolios
Comparative statistics of optimal portfolios
Optimal portfolios taking into account several risks
Balance price and allocation
Competitive markets and Pareto risk allocation balance
Analysis of variance
Factor valuation
Long-term forward markets
Rational bubbles and learning
Models of market behavior
EH testing theory
Affine and SDF models
CIP, UIP and FRU testing
Modeling bankruptcy risk
Type of course
Learning outcomes
After completing the course, the student:
In terms of knowledge:
• explains concepts related to equilibrium in the financial market, such as agency theory, consumption and portfolio choice, and the existence of equilibrium (K_W01).
• explains the relationship between risk and expected utility based on the Von Neumann-Morgenstern theory and risk aversion measures according to Arrow-Pratt (K_W01).
• explains the application of equilibrium principles in financial markets, arbitrage theories, portfolio optimization, and volatility in financial management within organizations and strategies of financial institutions (K_W02).
• describes basic models and tests for the functioning of financial markets (K_W03).
• describes the relationship between price volatility and equilibrium in the financial market, as well as the impact of risk neutrality on investment decisions (K_W05).
In terms of skills:
• applies residual tests, ECM models, nonlinear models, and Markov models for predicting stock prices (K_U01).
• analyzes the impact of factor valuation on investment strategies in the context of long-term futures markets (K_U01).
• analyzes normality tests, random walks, and cointegration in financial market modeling (K_U02).
• identifies the differences between optimal portfolios considering one or several risks (K_U02).
• explains the impact of different market behavior models on asset valuation and investment decisions (K_U02).
In terms of social competences:
• assesses the implications of the Efficient Market Hypothesis (EMH) for investors using appropriate statistical tools (K_K01).
• assesses the application of variance analysis in portfolio valuation and risk models (K_K01)
Assessment criteria
Lecture: Written exam (test, open questions, tasks)
Exercises: ongoing assessment (current preparation for classes and activity), mid-semester written tests, attendance control, semester work. The necessary condition to pass the exercises is to submit the project.
Learning outcomes will be verified on an ongoing basis by means of tasks performed by participants during the exercises and finally by passing the exercises (test) and the exam.
Lecture:
• written exam (100% mark)
• very good grade in exercises (20% of the grade)
• additional points for activity 10%
Exercises:
• 10% work in classes,
• 70% group project;
• 20% final test
In total, you will be able to score 30 points during the exam, the number of which will determine the final grade:
0-50% points – grade 2
51%-60% of points – grade 3
61%-70% of points – rating 3.5
71%-80% of points – grade 4
81%-90% of points – rating 4.5
91%-100% points – grade 5
In total, you will be able to earn 100 points during the exercises, the number of which will determine the final grade:
0-50 points – grade 2
51-60 points – grade 3
61-70 points – rating 3.5
71-80 points – grade 4
81-90 points – rating 4.5
91-100 points – grade 5
Bibliography
Patrycja Chodnicka-Jaworska, Piotr Jaworski, Wrażliwość rynku akcji na publikacje danych rynkowych w czasie pandemii COVID-19, Wydawnictwo Naukowe Wydziału Zarządzania UW, 2020;
Patrycja Chodnicka-Jaworska, Credit rating na rynku finansowym, PWE, 2019;
Krzysztof Jajuga, Teresa Jajuga, Inwestycje, PWN, 2015;
Stephen F. LeRoy, Jan Werner, Principles of Financial Economics, Cambridge University Press 2 edition, 2014;
Keith Cuthbertson, Dirk Nitzsche, Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, 2nd Edition, Wiley, 2004.
Additional information
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: