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This course emphasizes how the fundamental principles in investment can be transformed into practical solutions. The course covers two major solution frameworks for portfolio selection: mean-risk framework (especially mean-variance framework) and utility maximization framework.
Investment Science will be an indispensable tool in teaching modern investment theory. It presents sound fundamentals and shows how real problems can be solved with modern, yet simple, methods. David Luenberger gives thorough yet highly accessible mathematical coverage of standard and recent topics of introductory investments: fixed-income securities, modern portfolio theory and capital asset pricing theory, derivatives (futures, options, and swaps), and innovations in optimal portfolio growth and valuation of multiperiod risky investments.
Robert C. Merton's widely-used text provides an overview and synthesis of finance theory from the perspective of continuous-time analysis. It covers individual finance choice, corporate finance, financial intermediation, capital markets, and selected topics on the interface between private and public finance.
The emphasis throughout is on developing the mathematical concepts required for the theory within the context of their application.
