Université Paris 1 Panthéon-Sorbonne

 Master QEM : Financial Economics

Number of Credits: 4 credits

Hours: 4 hours per week, about 50 hours total including tests

General Presentation: The Financial Economics course is divided into two sections: International Finance and Portfolio Management.

Students will study the international financial market as a whole, and not as an amalgamation of various national markets. With this objective in mind, this course starts from a description of the currency market, main operations will be detailed on the spot market, the forward one, as well as on the derivative market, with an emphasis on the classical hedging strategies concerning both the exchange rate and the interest rate. The second part takes a macroeconomic point of view, will be given the factors that led to the building of such a market, as well as the main implications concerning for example the systemic risk. Additionally, the exchange rate determination will be studied and the course will finish by studying the international monetary system, as well as the different exchange rate system (fixed, pegging...).

It will be divided into three major parts, including:

• Theory of Portfolio Management. This part includes the mean-variance criterion (Markowitz), the case with N risky assets, technical implementation of portfolio management, and alternative decision criteria.

• Asset Pricing Models: This part begins with the capital asset pricing model (CAPM), its extensions, empirical tests of the CAPM, and arbitrage pricing theory (APT).

•  Asset Allocation, Management Strategies, and Performance: This section looks at different steps in asset allocation, active and passive portfolio strategies, and measures of performance.

Books: S. Leroy, and J. Werner, Principles of Financial Economics, (2001) Cambridge University Press.

Prerequisites: None outside of those for the program at large.

Teacher and syllabus: 
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