Efficient Markets Hypothesis: Bibliography Yes! Samuelson's classic papers, all .pdf'd! God Bless the internet! (tags: EC4024)

We'll be studying the Efficient Markets Hypothesis, and the Adaptive Market's Hypothesis, in a few weeks. Here's a primer. Adaptive-Markets […]

The essential idea is to reduce risk through diversification of a portfolio of differentially risky analysis. Portfolio analysis sets us up to explore the CAPM, APT, EMH and the adaptive markets hypothesis.

EC4024 Lecture 11: Papers for APT+Multifactor Models Loads of references for APT-interested students (tags: EC4024)

Click here to download the list of students and their groups. Meet up, or correspond by email/smoke signal/whatever. Set up […]

The other major option used when pricing stocks is the Arbitrage Pricing theory, APT, developed by Stephen Ross of MIT. We'll use this lecture to go through APT, show how it differs from CAPM, derive the single factor model, and show some examples of the multi factor model.

We've looked at portfolio analysis, now it's time to take a crack at the first big model of the course., the Capital Asset Pricing Model, (CAPM), developed by Sharpe, Lintner, and others.

We'll derive the CAPM from first principles, then show a few examples of the model in action, look at it's history, and then ask whether CAPM is still useful.

Dear All, Due to a small scheduling hiccup, I've missed our class today from 2--3 in SR3008. All apologies. We'll […]

xkcd - A webcomic of romance, sarcasm, math, and language - By Randall Munroe

Arthur Schram Professor of Experimental Economics at U. Amsterdam (tags: exp_econ_lab exp_econ_book)

Following our discussion yesterday I did some reading on the stimulus package announced by President Bush, and here's something I found I'd like to share with the class.

Read it, and I'll open up the comments section so if anyone agrees or disagrees, they can have their say.

The handout at the link below was produced by Conor Burke and Mark Gaffney. Well done gentlemen, this is a […]

We've spent some time going over how market professionals see the interaction between risk and uncertainty. ... It's a rather strange story to tell, so we'll tell the story using examples of pricing risky assets.