| Educational guide Faculty of Business and Economics |
english |
| Bachelor's Degree in Economics (2009) |
 Subjects |
| FINANCIAL ECONOMIC THEORY |
| Contents |
| IDENTIFYING DATA | 2023_24 |
| Subject | FINANCIAL ECONOMIC THEORY | Code | 16224209 | |||||
| Study programme |
|
Cycle | 1st | |||||
| Descriptors | Credits | Type | Year | Period | ||||
| 6 | Optional | Third | 2Q |
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| Competences | Learning outcomes | Contents |
| Planning | Methodologies | Personalized attention |
| Assessment | Sources of information | Recommendations |
| Topic | Sub-topic |
| Chapter 1. Choice under conditions of uncertainty |
1.1 The von Neumann Morgenstern expected utility theory 1.1.1 Formalization of uncertainty 1.1.2 Axioms of preferences 1.1.3 Representation of preferences. The von Neumann Morgenstern expected utility theorem 1.2 Particular case: The utility of money 1.2.1 Risk aversion: a brief conceptual discussion 1.2.2 Risk aversion measures 1.2.3 Certainty equivalents 1.2.4 Risk premiums 1.2.5 Risk aversion and wealth 1.2.6 Utility functions frequently used in finance 1.3 Applications 1.3.1 The demand for insurance 1.3.2 The problem of portfolio selection 1.4 Extensions 1.4.1 States of nature 1.4.2 Subjective probabilities 1.5 Critiques 1.5.1 The Allais paradox 1.5.2 The Ellsberg paradox |
| Chapter 2. Financial equilibrium: Existence, efficiciency and valuation |
2.1 Introduction 2.2 The financial equilibrium under certainty 2.2.1 A periode 2.2.2 Multiple periodes 2.3 The financial equilibrium under uncertainty 2.3.1 Complete markets and Arrow-Debreu securities 2.3.2 Economies with a complete set of Arrow-Debreu securities 2.4 General economy with complex securities 2.5 Final comments and extensions |
| Chapter 3. Mean-variance analysis and characteristics of the set of investment opportunities |
3.1 Fundamental principles of the mean-variance context 3.2 Measures of the return and the risk of an individual asset 3.3 The return and the risk of a portfolio 3.3.1 Portfolios of two risky assets 3.3.2 Portfolios with multiple risky assets 3.4 Combinations of risky assets in the mean-variance context 3.4.1 Combinations of two risky assets 3.4.2 Combinations of multiple risky assets 3.5 Derivation of the minimum variance portfolio 3.6 Combinations of a risky asset and a risk-free asset in the mean-variance context 3.7 Portfolio diversification 3.7.1 The variance of a well-diversified portfolio 3.7.2 The contribution of an individual asset to the risk of a well-diversified portfolio |
| Chapter 4. The efficient frontier and the selection of the optimal portfolio |
4.1 The efficient portfolio and the two-fund separation 4.1.1 Efficient portfolios and the selection of the optimal portfolio with multiple risky assets 4.1.2 The two-fund separation theorem 4.2 The tangent portfolio and the optimal investment when there is the possibility of investing in a safe asset 4.2.1 The tangent portfolio and the Capital Market Line 4.2.2 Determination of the tangent portfolio 4.2.3 Determination of the frontier portfolio 4.3 Determination of the efficient frontier of risky assets 4.4 Difficulties of mean-variance analysis in determining tangent portfolios |
| Chapter 5. Equilibrium in the market: The CAPM |
5. 1 CAPM hypothesis 5. 2 The market portfolio 5. 3 Deduction of the CAPM formula 5. 4 CAPM implications: The Security Market Line and the beta of an asset 5. 5 Applications 5.5.1 Valuation of risky assets 5.5.2 Investment decisions of firms |
