Some lectures in the area of corporate finance
This is part of a training program on topics in corporate finance
taught for RBI staff, May 2011, at IGIDR, Bombay.
Books
The lectures on portfolio optimisation is material covered in
Modern portfolio theory and investment analysis by Edwin
J. Elton, Martin J. Gruber, Stephen J. Brown, William N. Goetzmann.
The lectures on market efficiency are based on a variety of
sources, including Market efficiency: Stock market behaviour in
theory and practice, edited by Andrew W. Lo, which is a compendium
of articles.
- Foundations of Finance by Chi-fu Huang and Robert
Litzenberger (for a rigorous treatment of the mathematics of
portfolio optimisation).
- Investments by William Sharpe, Gordon J. Alexander and
Jeffrey W. Bailey.
- Investment science by David Luenberger.
- India's financial markets: an insider's guide to how the
markets work by Ajay Shah, Susan Thomas, Michael Gorham
- The Economics of Financial Markets by Houthakker and
Williamson (for market microstructure).
- A random walk down Wall Street by Burton G. Malkiel.
- Capital Ideas by Peter Bernstein.
Course content
Introduction to portfolio optimisation [Slideshow]
The Markowitz optimisation solution [Slideshow]
From optimisation to asset pricing [Slideshow]
Asset valuation and the efficient market hypothesis [Slideshow]
Testing for efficient markets [Slideshow]
Testing for efficient markets, part II [Slideshow]
Mechanics