Class Notes

These lecture notes cover the core topics of the course, from portfolio theory and asset pricing to fixed income securities. Each chapter is self-contained and available in both HTML and PDF, so you can read online or download a copy for offline study.

Portfolio Theory

This section develops the tools investors use to characterize risk and return and to build optimal portfolios. We start with the statistical properties of asset returns, move through utility theory and capital allocation, and end with the CAPM and the index model as ways to price risky assets.

Topic	Date	Notes
Statistics of Asset Returns	8/24	Notes
The Fisher Model	8/26	Notes
Utility Theory Under Uncertainty	8/31	Notes
Optimal Capital Allocation	9/2	Notes
Portfolios of Risky Assets	9/9	Notes
Perfect Correlation	9/14	Notes
Beta Pricing	9/16	Notes
The Capital Asset Pricing Model	9/16	Notes
The Index Model	9/21	Notes

Fixed Income

This section covers the valuation and risk management of fixed income securities. Topics include how bonds are priced, how forward rates are extracted from the term structure, and how duration and convexity are used to manage interest rate risk.

Topic	Date	Notes
Bond Pricing	9/23	Notes
Forward Rates	9/28	Notes
Interest Rate Risk Management	9/30	Notes

Support Material

This section contains background material that supports the main lecture notes. It is not tied to a specific class session but is useful as a reference throughout the course.

Topic	Notes
Probability Basics	Notes