The first half of this course is Finance, followed by the second half, Financial Economics. 

Learning programming is not necessary to understand most of the contents, but if you try programming, your understanding of theories will deepen significantly. 

The data is provided at the end of this page.  

R instructions

• Introduction to R 

• R demo: Create a new R file; The concept of workspace; Overwriting 0:01

• R demo: Ordering

• R demo: Working directory 0:01

• R demo: Nesting for-loops 3:08

• R demo: Opening windows 5:39

• R demo: graphics.off( ) 6:41

• R demo: Defining and solving equations in R  24:51

Part 1. Finance

Markowitz's Mean-Variance Analysis

• Intro 0:01

• Stock return 3:47

• Risk and returns for N stocks 5:10

• Portfolio risk and return 10:25

• Graph: Efficient frontier 17:29

• Excel demo: The efficient frontier by simulation 22:03

• Investor problem 38:32

• Math preliminary I 48:01

• Math preliminary II 54:10

• Math preliminary III 1:03:59

• Lagrangian solution 1:12:22

• Excel demo: The efficient frontier by using analytical solution 1:26:20

• Excel demo: The efficient frontier by using analytical solution (Continued from last) 1:29 1:29

• Excel demo: The efficient frontier in the presence of risk-free asset 10:13

CAPM (Theory)

• Efficient frontier with risk-free asset 11:20

• Theorem: Basis for CAPM 19:33

• Proof of the theorem 25:29

• Risk of an asset is not its standard deviation?? 43:13

• R demo: The efficient frontier by simulation 6:29

• Why it is called "beta" 20:01

• CAPM derived 28:12

• CAPM interpreted 41:03

• Beta estimates 52:49

Preliminaries (basic econometrics)

• Linear regression model 1:00:58

• R simulation for OLS 1:11:38

• t-test 1:18:40

CAPM (Empirics)

• Recap: CAPM equation 0:01

• APPLE or Volkswagen?  2:55

• Excess returns 7:56

• Market beta of a portfolio/fund 10:41

• Testing CAPM - two more assumptions 16:08

• CAPM time-series regression test 27:18

• Jensen's alpha 29:38

• CAPM cross-sectional regression test 39:14

• R demo: Testing CAPM

• Errors-in-variables problem 0:01

• Errors-in-variables in CAPM 3:05

Various investment styles

• CAPM implications vs. reality 6:08

• Momentum investing 11:53

• Small-cap investing 21:57

• Value premium 28:11

• "Value" measures 40:36

• R demo: Cumulative return 0:01

• R demo: Cumulative return for all companies 12:09

• R demo: Equally weighted portfolio 14:47

• R demo: Momentum investing 17:30

• Value investing exercise (outline)  0:01

• Value investing exercise with R    8:50

• Value premium puzzle (Evidence by Cochrane) 26:46

• Cochrane's exercise with R  33:03

Efficient Market Hypothesis, Return predictability, and Spurious regression

• Random walk hypothesis 0:01

• Martingale hypothesis 3:42

• Predictable return formulated 7:18

• Informational efficiency 9:43

• Return predictability of dividend yield 0:01

• Return predictability regression by R  4:51

• Data-mining and spurious regression 12:39

• Spurious regression simulation by R  23:44

Part 2. Financial Economics

Road map for introduction to dynamic stochastic general equilibrium (no production) 

Preparations

• Utility maximisation (formulation) 1:43

• Two methods to solve 7:33

• First-order condition derived 11:59

• FOC interpreted 14:57

• Prep. for utility maximisation by R  22:36

• R demo: Defining and solving equations in R  24:51

• Trade in a 3-good economy 0:01

• Trade in a 3-date economy 3:26

• Future goods = Security 8:44

• Gordon's dividend discount model 16:09

• Two factors that affect security prices 21:42

• Recap: Bond prices 25:46

• Asset price dynamics without uncertainty 0:01

• R demo: Present value model 10:15

• R demo: Asset price dynamics 16:07

• Pure-endowment General Equilibrium model 0:01

• GE model with 2 individuals and 3 goods 20:16

• How to compute GE (preparation) 28:39

• R demo: How to compute GE  37:28

• Representative Agent model 47:56

Consumption-based Asset Pricing (Non-stochastic)

• Recap 0:01

• Dynamic General Equilibrium 6:15

• GE asset pricing 20:10

• R demo: 10-period model 24:03

• Volatility puzzle 40:11

• Robert-Shiller data 47:06

• R demo: Robert-Shiller exercise 50:41

• Result figure 59:54

Consumption-based Asset Pricing (Stochastic)

• State-contingent goods 0:01

• The price of an asset as a basket of state-contingent goods 13:23

• Risk-neutral probability 18:27

• Exercise: State prices 0:01

• Utility function for uncertainty 7:27

• Exercise: General equilibrium with uncertainty 13:23

• Utility function in the Dynamic Stochastic environment 22:00

• General equilibrium in the Dynamic Stochastic environment 28:04

• One-period-ahead state prices 0:01

• State-prices in units of the date-0 good 8:52

• One-period-ahead state prices (The stationary case) 14:14

• Stock price as sum of state prices 29:57

• I + P + P^2 + ... = (I - P)^(-1)  38:33

The Lucas Tree Model

• Dynamic Stochastic environment (Infinite horizon) 0:01

• Utility function 4:47

• Utility maximization 6:31

• Lagrangian and FOC 12:53

• Equilibrium prices derived 15:05

• One-period-ahead prices derived 21:36

• Stationary case (2-state case) 26:45

• Stationary case (N-state case) 32:36