A combination of lectures, supplementary materials & presentations and class presentations.
- Introduction of securities and the investment process.
- Markets for securities and taxes.
- Risk and return in a portfolio.
- Industry analysis.
- Company analysis: measuring earnings.
- Company analysis: forecasting techniques.
- Company analysis: applied evaluation.
- Bond analysis: returns, systematic and unsystematic risk assessment.
- Portfolio analysis, Markowitz Risk-Return Optimization.
- Portfolio selection, risk and investor preferences.
- Delineation of efficient portfolios, and techniques of calculating efficient frontiers.
- Portfolio theory and portfolio selection process.
- The correlation structure of security returns: the Single Index Model.
- Techniques of determining the efficient frontier.
- Utility analysis.
- The standard capital asset pricing model (CAPM) and its application in portfolio management.
- The Arbitrage Pricing Model (APT) and its application in portfolio management.
- Option Pricing Theory.
- The valuation and uses of financial futures.
- Evaluation of the investment process.
At the end of the course, the student should be able to:
- describe the characteristics of risk, measures of dispersion and variance of combinations of assets;
- describe the techniques of calculating the efficient portfolios;
- describe the correlation structure of security returns;
- evaluate and describe the techniques required to select an optimum portfolio;
- describe strategies for optimal mix portfolio models, capital allocation for portfolio mix;
- evaluate portfolio returns of a small, active portfolio;
- explain the portfolio evaluation techniques, earning estimation, and bond pricing techniques;
- describe the valuation and uses of financial futures in the management of portfolios;
- test a simple Arbitrage Pricing Model for asset pricing, for a small portfolio of assets.
|Portfolio Cases (2)||30%|
Textbooks and Materials to be Purchased by Student
Elton, Gruber. Modern Portfolio Theory and Investment Analysis (Latest Edition). John-Wiley and Sons, Canada.