Finance 422 Portfolio
Management
Course Overview
Portfolio Theory and Selection is a survey of recent theories of
risk diversification and portfolio balance
Course Objectives
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Describe the model of the financial system
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Identify important market characteristics
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Correctly use various valuation techniques
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Have a working knowledge of various pricing models (CAPM, APT, FAMA FRENCH)
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Explain the implications of the Market Efficiency Hypothesis
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Develop a MVE portfolio
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Discuss intelligently the benefits of diversification
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Discuss intelligently the role of a fund trustee for various types of funds
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Discuss the recent corporate governance crises and be able to identify good and bad practices in the field and how this impacts money management
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Apply various portfolio evaluation techniques
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Hedge a portfolio from market wide risk factors
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Set up and manage a portfolio for various investor classes
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Understand the role of a portfolio trustee
Administrative stuff:
Grades
Class participation, attendance, Homework 20%
Midterm Exam 15%
Final Exam 30%
Computer Project #1 10%
Stock Market "Game" 15%
Index Project 10%
here is the link to the text's
main web page for students . It has quite a few useful pages
of notes and online quizzes. I am sure the quizzes will help also
for tests!
Many of the newer articles appear on the FinanceProfessor Blog.
Some articles as well as class announcements will also appear on the Finance Class blog.
I highly recommend you "subscribe" to each of the blogs.
SIGN up for the Investment "game" here!--This game will be a year long project. You will have to create a develop a trading strategy, create a prospectus (with fees etc), make investments, monitor and report on progress (due March 1), then make a final report (due May 1). This will be 15% of the grade (note: this is in lieu of a third test! You win :) )
Notes:
These notes are constant works in process. They will likely be
updated repeatedly though out the year. For that reason you
should make a practice of printing them just before the class if at all
possible. (note: each topic also has links within the chapters).
TENTATIVE Outline:
Week 1 Review of Investments
Chapter 1 Concept of Investing-Notes from -Text
Chapter 2—Time Value of money, stats, and Risk and Return-Notes from text,
Chapter 3—The Market Phttp://www.financeprofessor.com/fin422/fin422mainpage.htmllace -Notes from Text
Appendix: Statement of the Standards of Professional Conduct
Week 2 Setting portfolio Objectives--
Chapter 4 Appendix Mutual Fund Evaluation--
Investment Policy-Chapter 5--rememebr investment poolicy is not the same as investment management!
part of this are going to make up the first assignment for the Stock market "game"
If needed: Review of stocks and Bonds
Week 3
A look at how Standards and Poors makes their index
A look at Indicies--from SEC and Nasdaq
from Money
and Banking
Assignment #2: WNY stock Index
Chapter 6. Market Mechanics:
Diversification--very simple
notes from 401, notes from text
.
Chapter 7 Why Diversification is good--text
notes
Chapter 8 International Diversification-text notes
Week 4
Market Efficiency
Chapter 9 Capital Markets and Efficiency.
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Anomalies from Investorhome.com
-
Summary of Ray Ball's Article
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Summary of Fame's 1991 Market Efficiency paper
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Discussion of why the market might not be perfectly efficient : more to follow on this in class
-
Summary of behavioral Finance speech by Michael Brennen
Behavioral Finance.
Week 6
Modern Portfolio Theory—Readings TBA
Chapter 10: Picking Stocks
Chapter 11: Stock Screening
Review of Valuation
Fundamental Vs Technical Analysis
EXCEL Assignment 1 due: Develop Efficient frontier for at least 5 asset classes
Week 6
Chapter 12 Bond Duration
Chapter 13 Selection
Week 7
Excel Tutorial if time Chapter 14: Real Assets
Thursday: TEST
Week 8
Chapter 15: revision of the Equity Portfolio
Chapter 16: Revision of the Fixed Income Portfolio
Bond indexing:
A few good links on bond strategies. AG Edwards has some interesting points on laddering, but the best is from Fidelity.
Week 9
Chapter 19: Performance evaluation
Week 10
Chapter 17: The Role of Derivative Assets.
Derivatives as investments
Appendix: Option Pricing
Week 11
notes
for class:
Chapter 18 Option Overwriting
Derivatives as a hedge
Chapter 21: Principles of the Futures Markets
Financial Engineering-- creating new securities
Chapter 22: Benching the Equity Players
Week 12
Chapter 23: removing Interest rate risk
Chapter 24: Integrating Derivative Assets and Portfolio Management
Week 13
Chapter 25 Contemporary Issues in Portfolio Management
Week 14 So you are a trustee, Now what? Insurance etc.
Week 15
Catch up and review
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