| Competences |
| Type A | Code | Competences Specific |
| A5 | Analyze economic institutions: companies, public organizations, industrial and financial markets and other services. | |
| Type B | Code | Competences Transversal |
| B2 | Effective solutions to complex problems | |
| Type C | Code | Competences Nuclear |
| C4 | Be able to express themselves correctly both orally and in writing in one of the two official languages of the URV |
| Learning outcomes |
| Type A | Code | Learning outcomes |
| A5 |
Analyze the decisions of a rational agent in conditions of uncertainty. Analyze the basic models of general equilibrium in financial markets and their implications for share valuations. Analyze portfolio selection in terms of a mean variance context and the study of the CAPM. | |
| Type B | Code | Learning outcomes |
| B2 |
Draw up strategies to solve problems. Find appropriate solutions. | |
| Type C | Code | Learning outcomes |
| C4 |
Produce well-structured, clear and rich written texts Produce written texts that are appropriate to the communicative situation |
| Contents |
| Topic | Sub-topic |
| Chapter 1. Choice under conditions of uncertainty |
1.1 The von Neumann Morgenstern expected utility theory 1.1.1 Formalization of uncertainty 1.1.2 Axioms of preferences 1.1.3 Representation of preferences. The von Neumann Morgenstern expected utility theorem 1.2 Particular case: The utility of money 1.2.1 Risk aversion: a brief conceptual discussion 1.2.2 Risk aversion measures 1.2.3 Certainty equivalents 1.2.4 Risk premiums 1.2.5 Risk aversion and wealth 1.2.6 Utility functions frequently used in finance 1.3 Applications 1.3.1 The demand for insurance 1.3.2 The problem of portfolio selection 1.4 Extensions 1.4.1 States of nature 1.4.2 Subjective probabilities 1.5 Critiques 1.5.1 The Allais paradox 1.5.2 The Ellsberg paradox |
| Chapter 2. Financial equilibrium: Existence, efficiciency and valuation |
2.1 Introduction 2.2 The financial equilibrium under certainty 2.2.1 A periode 2.2.2 Multiple periodes 2.3 The financial equilibrium under uncertainty 2.3.1 Complete markets and Arrow-Debreu securities 2.3.2 Economies with a complete set of Arrow-Debreu securities 2.4 General economy with complex securities 2.5 Final comments and extensions |
| Chapter 3. Mean-variance analysis and characteristics of the set of investment opportunities |
3.1 Fundamental principles of the mean-variance context 3.2 Measures of the return and the risk of an individual asset 3.3 The return and the risk of a portfolio 3.3.1 Portfolios of two risky assets 3.3.2 Portfolios with multiple risky assets 3.4 Combinations of risky assets in the mean-variance context 3.4.1 Combinations of two risky assets 3.4.2 Combinations of multiple risky assets 3.5 Derivation of the minimum variance portfolio 3.6 Combinations of a risky asset and a risk-free asset in the mean-variance context 3.7 Portfolio diversification 3.7.1 The variance of a well-diversified portfolio 3.7.2 The contribution of an individual asset to the risk of a well-diversified portfolio |
| Chapter 4. The efficient frontier and the selection of the optimal portfolio |
4.1 The efficient portfolio and the two-fund separation 4.1.1 Efficient portfolios and the selection of the optimal portfolio with multiple risky assets 4.1.2 The two-fund separation theorem 4.2 The tangent portfolio and the optimal investment when there is the possibility of investing in a safe asset 4.2.1 The tangent portfolio and the Capital Market Line 4.2.2 Determination of the tangent portfolio 4.2.3 Determination of the frontier portfolio 4.3 Determination of the efficient frontier of risky assets 4.4 Difficulties of mean-variance analysis in determining tangent portfolios |
| Chapter 5. Equilibrium in the market: The CAPM |
5. 1 CAPM hypothesis 5. 2 The market portfolio 5. 3 Deduction of the CAPM formula 5. 4 CAPM implications: The Security Market Line and the beta of an asset 5. 5 Applications 5.5.1 Valuation of risky assets 5.5.2 Investment decisions of firms |
| Planning |
| Methodologies :: Tests | ||||||||||
| Competences | (*) Class hours |
Hours outside the classroom |
(**) Total hours | |||||||
| Introductory activities |
|
1 | 0 | 1 | ||||||
| Lecture |
|
30 | 75 | 105 | ||||||
| Problem solving, exercises in the classroom |
|
12 | 24 | 36 | ||||||
| Personal attention |
|
1 | 0 | 1 | ||||||
| Practical tests |
|
6 | 0 | 6 | ||||||
| Mixed tests |
|
2 | 0 | 2 | ||||||
| (*) On e-learning, hours of virtual attendance of the teacher. (**) The information in the planning table is for guidance only and does not take into account the heterogeneity of the students. | ||||||||||
| Methodologies |
| Description | |
| Introductory activities | Activities designed to make contact with students, collect information from them and introduce the subject. |
| Lecture | Exposició dels continguts de l'assignatura. |
| Problem solving, exercises in the classroom | Formulació, anàlisi, resolució i debat d'un problema o exercici, relacionat amb la temàtica de l'assignatura. |
| Personal attention | Temps que cada professor té reservat per atendre i resoldre dubtes als alumnes. |
| Personalized attention |
| Description |
| Temps per resoldre dubtes als estudiants. L'atenció serà principalment personalitzada i es durà a terme en el despatx del professor. El primer dia de classe s'indicarà l'horari de tutories. |
| Assessment |
| Methodologies | Competences | Description | Weight | ||||
| Practical tests |
|
Tests that include activities, problems or cases to be solved. The student must respond to the proposed activity, translating in a practical way, the theoretical and practical knowledge of the subject. The content of this subject is divided into 3 parts. During the course it is proposed to do 3 tests, each test related to a part. |
45% (3X15%) | ||||
| Mixed tests |
|
Examen final del contingut global de l'assignatura | 55% | ||||
| Others |
| Other comments and second exam session | |||
|
The use or possession of communication and data transmission devices during the performance of the tests is not allowed. |
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| Sources of information |
| Basic |
Copeland, Thomas; Weston Fred, Finacial Theory and Corporate Finance, 3ª edició, Addison Wesley
Marín, Jose María; Rubio, Gonzalo, Economía Financiera, 1ª edició, Antoni Bosch
Carolina Manzano, Material Docent, , |
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| Complementary |
Kreps, David, Curso de Teoria Microeconómica, , McGraw-Hill
Grinblatt, Mark; Titman Sheridan, Mercados Financieros y Estrategia Empresarial, 2ª edició, McGraw-Hill |
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| Recommendations |
| Subjects that it is recommended to have taken before | |||||
|
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(*)The teaching guide is the document in which the URV publishes the information about all its courses. It is a public document and cannot be modified. Only in exceptional cases can it be revised by the competent agent or duly revised so that it is in line with current legislation.