Syllabus

LEARNING OUTCOMES

In this course we learn about the functioning of financial markets and how hedge funds and other sophisticated investors trade in stocks, bonds, foreign exchange and commodities to generate abnormal returns. We start by examining the existing theory of how financial markets work and later look how it relates to investors' quantitative trading rules and optimal portfolio management. By the end of the course the students will be able show detailed understanding of the theory of financial markets under perfect and under imperfect information and how this theory applies to finding investment opportunities with abnormal returns in practice. 

Credits: 6

Schedule: 04.09.2023 - 19.10.2023

Teacher in charge (valid for whole curriculum period):

Teacher in charge (applies in this implementation): Matti Suominen

Contact information for the course (applies in this implementation):

CEFR level (valid for whole curriculum period):

Language of instruction and studies (applies in this implementation):

Teaching language: English. Languages of study attainment: English

CONTENT, ASSESSMENT AND WORKLOAD

Content

• valid for whole curriculum period:

  Financial markets under perfect information: risk aversion and portfolio choice. Dynamic hedging and pricing of redundant assets. Financial markets under imperfect information: supply and demand for risky assets under imperfect information. Liquidity provision in financial markets. The course looks at the modern theory of financial markets and the empirical evidence related to the phenomena discussed. It shows how the financial marlet imperfections lead to predictability in securities returns that hedge funds utilize. We rationalize several of the common quantitative trading strategies that hedge funds use. 

Assessment Methods and Criteria

• valid for whole curriculum period:

  1. Lectures 24 h, class participation (10%)
  2. Exercises
  3. Final exam (90%), or alternatively an extensive individual project

   

Workload

• valid for whole curriculum period:

  Lectures 24 h
  Class preparation 48 h
  Exercise preparation 50 h
  Exam preparation 36 h
  Exam 4 h

DETAILS

Substitutes for Courses

• valid for whole curriculum period:

  Substitutes for Courses

Prerequisites

• valid for whole curriculum period:

  Prerequisites

FURTHER INFORMATION

Further Information

• valid for whole curriculum period:

  Teaching Language : English

  Teaching Period : 2022-2023 No teaching
  2023-2024 Autumn I

  Enrollment :

  The course is offered to BIZ students only. A maximum of 70 students can be accepted to the course.

  Students at Aalto Finance M.Sc. programme (i.e. who have graduated as B.Sc.) will be guaranteed a seat on Finance M.Sc. courses. Students re-taking the course (grade already registered) will not be prioritized and can participate only if there are places remaining.

  Remaining seats are prioritized as follows:
  
  1. Finance M.Sc. exchange students from other universities
  2. Aalto Finance B.Sc. students with a finished B.Sc. thesis (registered in transcript of records)
  3. All other M.Sc. students at the School of Business.
  
  Please follow carefully the registration deadlines of the courses and exams! Missing registration deadline automatically foregoes a guaranteed seat for Finance M.Sc. courses and puts prospective student at the bottom of the prioritization list.

  Only one of the courses 28E00300 Advanced Investment Theory and FIN-E0311 Advanced Investments can be included in the degree.

Description