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Class Notes

On this page, I will post class notes that will help you follow the lectures more easily.

Risk and Risk Aversion part 1
Risk and Risk Aversion part 2
Optimal Risky Portfolios
Developing the CAPM
Using the CAPM
Multifactor Models
Review of Bond Basics
Invoice Prices and T-Bill Quotes
Treasury Strips
TIPS
Repos
Treasury Issue Process
Implied Forward Rates
Yield Curve Analysis
Bootstrapping
Factors Affecting Interest Rate Risk
Duration, Modified Duration and Convexity
Price Value of a Basis Point
Hedging Interest Rate Risk for a Portfolio
Interest Rate Forwards, Futures, and Futures Options
Interest Rate Swaps
Pricing Callable Bonds
Mortgage Backed Securities
Portfolio Performance Evaluation
Behavioral Finance Principles

 

Spreadsheets and other materials
Maximizing Utility
Two Risky Assets
The MVE Portfolio with 2 Risky Assets
Efficient Frontier for 8 Stocks
Several Assets Dynamic Model
Fama-French Monthly Data thru 6-2019
Fama-French Weekly data thru 6-2019
Calculating Beta for NFLX with Monthly Data thru 6-19
Calculating Beta for NFLX with Weekly Data thru 6-19
Fama French Tables
FF and CAPM for AAPL with Monthly Data thru 6-19
Portfolio Performance Measures
Historical Returns Database – thru 2018
Merrill Lynch Security Risk Evaluation 1-07
Loan Amortization in Excel
Bond Price and Yield Using Excel
Treasury Quotes
Treasury Strips Quotes 10-2018
TIPS Quotes
Yield Curve
Bond Ratings
Factors Affecting Int. Rate Risk Example
Duration and Modified Duration Examples
Swap Example 
Mortgage Backed Securities Example
Portfolio Performance Measures
BF Questions
Interest Rate Futures Prices

PowerPoints
Stock Market Indexes
Professional Asset Management