Université de Lorraine MICROECONOMICS OF FINANCE Master 1 Economie

Academic Year 2013-2014 (First Semester)

Microeconomics of Finance

Christophe BOUCHER* * Professor at Université de Lorraine (CEREFIGE) [email protected].

Course Objectives This course introduces crucial concepts in microeconomics of finance such as of investment decisionmaking, portfolio theory and valuation models of financial assets. Students will develop skills and learn tools for analysing and understanding financial markets. The course delivers a critical understanding of choice under uncertainty, portfolio construction, and equilibrium asset pricing (such as the CAPM and APT). The course also emphasizes the asset-pricing relations from first principles, and the consequences if some of the underlying assumptions are relaxed. Students will gain understanding of empirical testing procedures, and become aware of stylized facts from the empirical finance literature. Time: Friday 8:00PM-11:00PM; Location:203; First day of the course: 13rd, September 2013; Length: 10 courses of three hours; Exam: Two-hour written test (January 2014). Table of Contents Part 1. Basics 1: Uncertainty and Consumer Behaviour

Part 2. Basics 2: Investment, Time and Capital Markets

Part 3. The Theory of Choice under Uncertainty

Part 4. Mean-Variance Portfolio Theory

Part 5. Risk Measures and Other Criteria

Part 6. Asset Pricing Models

Université PARIS I Panthéon-Sorbonne, Master 1 Profesionnel (MoSEF) and Master 1 Economie (MBFA), Financial Markets & Portfolio Choice ______________________________________________________________________________________________________________

Essential References Bodie Z., A. Kane and A. Marcus, (2011), Investments, 9th Edition, 1056 pages. Copeland T. E., J.F. Weston and K. Shastri (2013), Financial Theory and Corporate Policy, Pearson New International Edition, 4th Edition, 924 pages. Elton E., M. Gruber, S. Brown and W. Goetzmann, (2010), Modern Portfolio Theory and Investments Analysis, John Wiley and Sons, 8th Edition, 752 pages.

French References Aftalion F. (2008), La Nouvelle Finance et la Gestion de Portefeuille, Economica, 3ème édition, 248 pages. Aftalion F., Poncet P. et R. Portrait (1998), La Théorie Moderne du Portefeuille, Que sais-je ?, PUF, 127 pages. Amenc N. et V. Le Sourd (2003), Théorie du Portefeuille et Analyse de sa Performance, Economica, 352 pages. Broihanne M-H., Merli M., Roger P. (2004), Finance comportementale, Economica, 262 pages. Chauveau T. (2004), Equilibre d'un marché financier, Hermès. Poncet P. et R. Portait (2011), Finance de marché, Dalloz, 3ème édition, 1087 pages. Viviani J.-L. (2001), Gestion de Portefeuille, 2nde édition, Dunod, 322 pages.

Pr. Christophe Boucher is an Agrégé Professor in Economics and Finance at the University of Lorraine since 2012. He is also an Economist / Strategist within AAAdvisors-QCG (ABN AMRO) since 2007, in charge of economic analyses, tactical strategies and leading indicator follow-ups and a Senior Partner at Variances. He graduated in Economics and in Finance, and holds a PhD in Economics in 2006 (“Misalignments, Aggregated Returns and Aggregated Volatility”) for Paris-13 university. He has published several comments in newspapers and articles in academic journals such as Economics Letters, Finance, International Journal of Finance, Applied Economics Letters and serves as a referee in several international leading journals. His interest mainly concerns strategic allocation, predictability of returns and volatility, asset pricing and macroeconomics. He received the “Young Economist Award” in 2006 from the European Economic Association (EEA) and the “Young Researcher in Economics Prize” from the Banque de France Foundation in 2010.

2