Humboldt-Universität zu Berlin - Wirtschaftswissen\=schaftliche Fakultät

Notes:

• This course is part of the following study programs:
  In the MEMS program, in the elective field finance and banking, it is part of the compulsory modul “Finance and Banking I“.
  In the Master’s Program Wirtschaftsinformatik it is part of the modul “Financial Markets”.
  In the Diplomstudiengänge Betriebswirtschaftslehre and Volkswirtschaftslehre it is part of the Besondere BWL Finanz- und Bankwirtschaft.
• The course will be taught in German. It is nearly identical with the course “Portefeuille- und Kapitalmarkttheorie”, especially the one taught by me (Sommersemester 2006). I plan to teach this course again in Sommersemester 2007 in English. One difference between the English and the German language version of the course is that in the English version I refer more often to the US capital market, in the German version to the German capital market.
• We assume that you have already taken the course “Grundzüge der Finanzierungstheorie” or its English equivalent “Introduction to Finance” or that you will take this course parallel. Please keep in mind, that in this course we will cover nearly identical topics as the course Grundzüge/Introduction but at a more thorough level. I strongly advise students who understand English well to take the course next summer semester.
  
• The course consists of a lecture on Wednesday 10:00-12:00, and exercise sessions on Friday 12:00-14:00 (in German) and 14:00-16:00 (in English). We assume that you carefully read the literature and that you try to solve the problems before the exercise sessions.
• Similar courses are taught at all major universities, often the title is “Investments” or “Investment Management”. The course content is not only important for your professional life but also for your personal life: all of you have to start saving and investing right after graduation in order to finance your retirement.
• We also assume that you regularly read the financial press, especially the Wall Street Journal.
• You are welcome to ask questions at each beginning and at each end of a class. You may also send questions to bank(at)wiwi.hu-berlin.de. These questions will be answered in the next session.
  

Literature:

• Our main textbook is Elton/Gruber/Brown/Goetzmann (EGBG): Modern Portfolio Theory and Investment Analysis. You may use the 6^th edition (2003) or the 7^th edition. The differences between the two editions and the resulting consequences are described here. I strongly recommend that you buy a copy of this book.
  
• Nearly all of the material is also covered in Ross, S.A./Westerfield, R.W./Jaffe, J.F. (RWJ): Corporate Finance, 7^th ed., McGraw-Hill/Irwin 2005, ISBN 007-123937-5, however only at an introductory level.
• Here you find a list of important formulas and graphs for these two books.
• Other important English textbooks are:
• • Sharpe, W.F./Alexander, G.J./Bailey, J.: Investments, 7^th ed., Prentice-Hall 2002, ISBN 0130661937
  • Copeland, T.E./Weston, J.F./Shastri, K.: Financial Theory and Corporate Policy, 4^th ed., Addison Wesley 2005, ISBN 0-321-22353-5
  • Haugen, R.A.: Modern Investment Theory, 5^th ed., Prentice-Hall 2001, ISBN 0130191701
  • Brealey, R.A./Myers, S.C.: Corporate Finance, 8^th ed., Irwin/Mc Graw-Hill 2006, ISBN 007-111551-X
  • Grinblatt, M./Titman, S.: Financial Markets and Corporate Strategy, 2^nd ed., Irwin/McGraw-Hill 2001, ISBN 0072294337
  • Bodie, Z./Kane, A./Marcus, A.J.: Investments, McGraw-Hill Higher Education 2004, ISBN 0071238204.
    
    
• I strongly recommend that all of you have a look at the following books about the stock market, which are intended for a more general audience: 
• • Haugen, R.A.: The Inefficient Stock Market, Prentice Hall 2001, ISBN 0130323667
  • Malkiel, B.G.: A Random Walk Down Wall Street, W.W. Norton & Co. 2004, ISBN 0393325350.
    
    
• Many important concepts and methods covered in this course are explained in a non-technical way in
• • Kritzman, M.P.: The Portable Financial Analyst, 2nd ed., John Wiley & Sons 2003, ISBN 0-471-26760-0..
    
    
• The book "Capital Ideas" by Peter L.Bernstein (John Wiley & Sons 2005, ISBN 0471731749) tells the human stories around the basic models in the field of finance. I think all students that specialize in finance should read it.
• Ross/Westerfield/Jaffe (RWJ) contains a glossary that covers all areas of finance. http://www.duke.edu/~charvey/Classes/wpg/glossary.htm contains an even larger glossary concentrating on money and investing. The hard copy (dictionary) currently costs around 5 €.
• German textbooks are:
• • Uhlir, H./Steiner, P.: Wertpapieranalyse, 4. Aufl., Heidelberg, Wien 2001, ISBN 3790813028
  • Schmidt, H.: Wertpapierbörsen, München 1988, ISBN 3-8006-1319-0
  • Franke, G./Hax, H.: Finanzwirtschaft des Unternehmens und Kapitalmarkt, 5. Auflage, Berlin, Heidelberg 2003, ISBN 3540406441
  • Steiner, M../Bruns, Ch.: Wertpapiermanagement, 8. Aufl., Stuttgart 2002, ISBN 3791019929
  • Loistl, O.: Computerunterstütztes Wertpapiermanagement, 5. Aufl., München, Wien 1996, ISBN 3486238167
  • Spremann, K.: Portfoliomanagement, 2. Aufl., München, Wien 2006, ISBN 3486253840
  • Breuer, W./Gürtler, M./Schuhmacher, F.: Portfoliomanagement I Theoretische Grundlagen und praktische Anwendungen, 2., überarb. u. erw. Aufl., Wiesbaden 2004, ISBN 3409215085
  • Kruschwitz, L.: Finanzierung und Investition, 4. Aufl., München, Wien 2004, ISBN 3486576089
  • Hull, J. C.: Optionen, Futures und andere Derivate, 6.Aufl., München, 2006, ISBN 3-8273-7142-2.
    
    
• There are several websites maintained by Finance Professors which contain a large amount of interesting material relating to this course. Important examples are
  • William Goetzmann, Yale
  • Harvey Campbell, Duke
  • William F. Sharpe, Stanford
  • Ivo Welch, Brown University.

Dates:

Aufgabensammlung (English), Stand 19.12.2006

Exams of previous semesters:

• Alte Klausuraufgaben nach DPO 1994 (SS1998 - WS2000/01) ( PDF)
• Scheinklausuren nach DPO 2000
  • Wintersemester 2000/01 - deutsch (PDF)
  • Wintersemester 2000/01 - English (PDF)
  • Sommersemester 2001 - deutsch (PDF)
  • Sommersemester 2001 - English (PDF
• Musterlösungen
  • Sommersemester 2001 (DPO 2000) - Aufgabe 1 (Optionen) ( PDF)
  • Sommersemester 2001 (DPO 2000) - Aufgabe 2 (Anleihen und Duration) ( PDF)
• Wintersemester 2004/2005 - deutsch, 1. Termin, Dividend Discount vs. NPVGO, Binomial Model, Prices and the CAPM
  
• Wintersemester 2004/2005 - English, 1. Termin
• Wintersemester 2004/2005 - deutsch, 2. Termin
• Wintersemester 2004/2005 - English, 2. Termin, CAPM vs. Binomial, Convexity, Dividend Discount
  
• Sommersemester 2006 - deutsch
• Sommersemester 2006 - English, CAPM vs. TAXCAPM, Single-Index Model, Optionen