6th Semester
Financial Theory
At A Glance
Course Code
ΧΡΘΕΡ01
Course Type
Compulsory. Background for all courses in Finance
Teaching Language
Greek
Is the course offered to Erasmus Students?
No
Teaching Delivery
Face-to-face
Use of Information and Communications Technology
Independent Teaching Activities
Type
Lectures
Weekly Teaching Hours
4
ECTS Credits
7,5
External Links
Student Performance Evaluation
Final Exam
Interaction over lectures
Problems solving
Learning Outcomes
Students will become familiar with the foundations of Financial Theory. This is a compulsory course that covers topics such as expected utility theory, portfolio choice under uncertainty, Markowitz theory, the foundations and use of the Capital Asset Pricing Model, and Arbitrage Pricing Theory. Emphasis is placed on the theoretical foundations.
General Competences
- Search for, analysis and synthesis of data and information, with the use of the necessary technology
- Adapting to new situations
- Decision-making
- Working independently
- Team work
- Working in an international environment
- Working in an interdisciplinary environment
- Production of new research ideas
Syllabus
Five Sections:
- Expected Utility (axioms of investor’s behavior under uncertainty, definition of risk aversion, risk premium, certainty equivalent, Pratt-Arrow risk premium, standard utility functions)
- Portfolio Choice (general setting, Arrow’s theorems)
- Markowitz Theory (portfolio statistics, portfolio frontier, minimum variance frontier, efficient frontier, two fund separation theorem, optimal portfolio)
- Capital Asset Pricing Model (assumptions, derivation, applications)
- Arbitrage Pricing Theory (assumption, derivation, zero beta portfolios)
Bibliography
Main:
- Danthine and J. Donaldson, 2005, Intermediate Financial Theory, 2nd Edition, Elsevier.
- Copeland, J. Weston, and Κ. Shastri, 2005, Financial Theory and Corporate Policy, Addison-Wesley Publishing Company.
- Pennacchi, 2008, Theory of Asset Pricing, Pearson Education.
Supplementary:
- Černý, 2004, Mathematical Techniques in Finance: Tools for Incomplete Markets, Princeton University Press
- E.J. Elton, M.J. Gruber, S.J. Brown, W.N. Goetzmann, 2003, Modern Portfolio Theory and Investment Analysis, John Wiley and Sons, 6th Edition.
- Fama, 1976, Foundations of Finance: Portfolio Decisions and Securities Prices, Basic Books, Inc, Publishers
The top finance journals
Undergraduate Courses
1st Semester
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4th Semester
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