FIN 703 Theory of Investments
(Doç. Dr. Alövsat Müslümov)
Yeditepe University - 2008 Spring
Ph.D. Program
Contents
Materials
Capital Markets, Consumption and Investment
Consumption and Investment without and with Capital Markets | Marketplace and Transaction Costs | Transaction Costs and the Breakdown of Separation
Sources:
1. Chapter 1 à Copeland, Weston and Shastri “Financial Theory and Corporate Policy”, Pearson Addison Wesley, Fourth Edition, 2005.
Problem Assignments:
1. Problems 1.1 – 1.6 (Copeland, Weston and Shastri: pp. 14-15)
Utility Theory
Axioms of Choice under Uncertainity | Utility Functions | Risk Aversion | Stochastic Dominance | Mean-Variance Choice Criteria | Mean-Variance Paradox
Sources:
Textbook Assignments
1. Chapter 3 à Copeland, Weston and Shastri “Financial Theory and Corporate Policy”, Pearson Addison Wesley, Fourth Edition, 2005.
2. Chapter 1 à George Pennacchi “Theory of Asset Pricing”, Pearson Addison Wesley, 2008.
Article Assignments (Chapter 3)
1. Bawa, V.J. (1975) “Optimal Rules for Ordering Uncertain Prospects,” Journal of Financial Economics, pp. 95-121.
2. Friedman, M. and L. Savage (1948) "Utility Analysis of Choices Involving Risk," Journal of Political Economy, pp. 279-304.
3. Friend, I., and M. Blume (1975) “The Demand for Risky Assets,” American Economic Review, pp. 900-933.
4. Hanoch, G., and H. Levy (1969), “The Efficiency Analysis of Choices Involving Risk,” Review of Economic Studies, pp. 335-346.
5. Herstein, I.N., and J. Milnor (1953) “An Axiomatic Approach to Measurable Utility”, Econometrica, Apri 1953, 291-297.
6. Jean, W. (1975), “Comparison of Moment and Stochastic Dominance Ranking Methods,” Journal of Financial and Quantitative Analysis, pp. 151-162.
7. Kahneman, D. and Tversky, A. (1979) “Prospect Theory: An Analysis of Decision under Risk,” Econometrica, pp. 263-291.
8. Levy, H. and Y. Kroll (1976) “Stochastic Dominance with Riskless Assets,” Journal of Financial and Quantitative Analysis, pp. 743-778.
9. Porter, R.B., J.R. Wart, and D. L. Ferguson(1973) “Efficient Algorithms for Conducting Stochastic Dominance Tests of Large Numbers of Portfolios,” Journal of Financial and Quantitative Analysis, pp. 71-82.
10. Pratt, J.W. (1964) “Risk Aversion in the Small and in the Large,” Econometrica, January-April, 122-136.
11. Tobin, J. (1958), “Liquidity Preference as a Behaviour toward Risk,” Review of Economic Studies, February, pp. 65-86.
12. Tversky, A., and D. Kahneman, “Rational Choice and the Framing of Decisions,” Journal of Business, October, pp. 251-278.
13. Vickson, R. G., (1975)“Stochastic Dominance for Decreasing Absolute Risk Aversion,” Journal of Financial and Quantitative Analysis, pp. 799-812.
14. Vickson, R. G. and M. Altman (1977) “On the Relative Effectiveness of Stochastic Dominance Rules: Extension to Decreasingly Risk-Averse Utility Functions,” Journal of Financial and Quantitative Analysis, pp. 73-84.
15. Whitmore, G.A. (1970) “Third Degree Stochastic Dominance,” American Economic Review, pp. 457-459.
Grades