finn 454-portfolio management-salman khan
TRANSCRIPT
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7/30/2019 FINN 454-Portfolio Management-Salman Khan
1/5
Lahore University of Management Sciences
FINN 454 Portfolio ManagementSpring 2013
Instructor Dr. Salman Khan
Room No. 4-08
Office Hours
Email [email protected]
Telephone 35608220
Secretary/TA Mr. Tahir Abbas
TA Office Hours
Course URL (if any)
Course Basics
Credit Hours 4Lecture(s) Nbr of Lec(s) Per Week 2 Duration 1Hour50Min
Recitation/Lab (per week) Nbr of Lec(s) Per Week Duration
Tutorial (per week) Nbr of Lec(s) Per Week Duration
Course Distribution
Core
Elective Yes
Open for Student Category
Close for Student Category
COURSE DESCRIPTION
The course is designed to study theory and empirical evidence relevant for portfolio management. An emphasis is placed on understanding,
how an investment professional would allocate funds in an hypothetical portfolio. The course is rich in theory and modeling techniques.Major topics include estimation of capital market parameters, trade-off between risk and return, optimal portfolio selection, equilibrium asset
pricing models, and portfolio management. Emphasis will be put on development of techniques that should be part of the tool kit of those
interested in becoming professional investors and/or researchers in finance.
COURSE PREREQUISITE(S)
Principles of FinanceIntermediate Finance
COURSE OBJECTIVES
The objective of the course is to study theory and empirical evidence relevant for portfolio management. An emphasis isplaced on understanding, How an investment professional would allocate funds in an hypothetical portfolio. Major topicsinclude estimation of capital market parameters, trade-off between risk and return, optimal portfolio selection, equilibrium
asset pricing models, and portfolio management. Emphasis will be put on development of techniques that should be part of
the tool kit of those interested in becoming professional investors and/or researchers in finance. The course is rigorous in
nature and challenging and will require hard work.
Learning Outcomes
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7/30/2019 FINN 454-Portfolio Management-Salman Khan
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Lahore University of Management Sciences
Upon successful completion of the course, the student will have a solid foundation in modern portfolio theory and goodunderstanding of portfolio management in practice.Grading Breakup and Policy
Quiz and Assignment(s): 15%Attendance: 10%
Midterm Examination:
Group Project: 25%
Simulation: 20%
Final Examination: 30%
Examination Detail
Midterm
Exam
Yes/No: No
Combine Separate:
Duration:
Preferred Date:
Exam Specifications:
Final Exam
Yes/No: Yes
Combine Separate: Combine
Duration: 2 Hours
Exam Specifications: MCQs and/or Long questions
COURSEOVERVIEW
Week/
Session/
Module
TopicsRecommended
Readings
Objectives/
Application
Week 1 Introduction to the course-The Investment Settings and the Asset
Allocation Decision
Chap I & 2 The course outline and evaluation tools will bebriefly discussed. We are going to start the
course with some of the basic concepts on
investments such as return calculations, marketsetc.
-What is asset allocation, portfolio management
process, investment planning, policy statements,
the objectives and constraints in a policystatement?
-How and why do investment goals change over
a persons lifetime and circumstances?
-Why do asset allocation strategies differ across
national boundaries?
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7/30/2019 FINN 454-Portfolio Management-Salman Khan
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Lahore University of Management Sciences
Week 2 Organization and Functioning of Securities
Markets
Chap 4 & 5 What is the purpose and function of a market?This includes understanding, the characteristics
that determine the quality of a market, the
differences between capital markets, the nature
and linkages of-the national, regional exchanges
and OTC markets, the alternative market-
making arrangements.
The understanding goes a little deeper when wewill discuss the major types of orders available
to investors and market maker, the major
functions of the specialist.
-What are the significant changes in markets
around the world during the past 15 years?-What are the major changes in world capital
markets expected over the next decade?
The uses of some of the major security market
indicator series (indexes), there characteristics,
historical versus current data.
Week 3 Efficient Capital Markets Theory Chap 6 In this week(s) we discuss the questions such as
-What does it mean to say that capital marketsare efficient?
-Whyshouldcapital markets be efficient?
-What factors contribute to an efficient market?
-What is behavioral finance and how does it
relate to the EMH?
-What are some of the major findings of
behavioral finance and what are the implications
of these findings for the EMH?
-What is the evidence related to the EMH formarkets in foreign countries?
Week 4 An Introduction to Portfolio Management Chap 7 In this week(s) start discussion from risk
aversion, and what evidence indicates that
investors are generally risk averse all the way
leading to Markowitz portfolio theory.
-What is the risk-returnefficient frontier of
risky assets?
-Is it reasonable for alternative investors toselect different portfolios from the portfolios on
the efficient frontier?
-What determines which portfolio on the
efficient frontier is selected by an individual
investor?Week 5 &6 An introduction to asset pricing models Chap 8 Overall these week(s)s discusses all the basic
and advanced concepts related to CAPM,Capital market line, Security Market Line,
assets Characteristic Line and empirical results
from tests that examine the stability of beta.
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Lahore University of Management Sciences
Week 7 Multifactor models of risk and return Chap 9 In these week(s) the focus will be onunderstanding the deficiencies of the capital
asset pricing model (CAPM) as an explanation
of the relationship between risk and expected
asset returns and the arbitrage pricing theory
(APT) and what are its similarities and
differences relative to the CAPM. We will alsostudy the multifactor models and how are they
related to the APT.
Week 8 Macroeconomic and Market Analysis: The
Global Asset Allocation Decision
Chap 12 In this week(s) we will discover the expected
and the empirical relationships betweeneconomic activity and security markets. We will
also study the questions such as:
-What is the macroeconomic approach to
estimating future market returns?
-What are the major macroeconomic techniques
used to project the securities market?
-How do the basic valuation variables differamong countries?
-What factors should be considered when
analyzing the outlook for a foreign economy and
its stock and bond market?
-What is the asset allocation procedure for a
global portfolio?Week 9 Industry Analysis Chap 14 In this week(s) our focus will be on industry
analysis specifically understanding
-the difference between the returns for
alternative industries during specific timeperiods.
-the consistency in the returns for individual
industries over time.-the performance for firms within an industry
consistent? What is the implication of theseresults for industry and company analysis?
-Is there a difference in risk among industries?-What happens to risk for individual industries
over time? What does this imply for industry
analysis?
-What are the stages in the industrial life cycle
and how does the stage in an industrys life
cycle affect the sales estimate for an industry?
-What are the five basic competitive forces thatdetermine the intensity of competition in an
industry and, thus, its rate of return on capital?
And a lot more Week 10 Company Analysis and Stock Valuation Chap 15 In this week(s) we will discuss the company
analysis in comparison to the stock valuation
that you have already studied at intermediatefinance and principles of finance level.
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7/30/2019 FINN 454-Portfolio Management-Salman Khan
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Lahore University of Management Sciences
Week 11 Technical Analysis Chap 16 In this week(s) we will briefly touch thedifference between the technical analysis and the
fundamental analysis, the underlying
assumptions of technical analysis, the major
advantages of technical analysis compared to
fundamental analysis, major challenges and
rules and some tools of technical analysis.Week 12 Equity Portfolio Management Strategies Chap 17 Here we will develop the understanding of two
generic equity portfolio management styles, hreetechniques for constructing a passive index
portfolio, learn the difference between the goal
of a passive equity portfolio manager and an
active manager, and various portfolio
management techniques.Week 13 The Analysis and Valuation of Bonds Chap 19 The focus will be on bond valuation techniques,
duration, convexity and yield curve analysis
Week 13 Bond Portfolio Management Strategies Chap 20 In this week(s) we focus on major bond portfolio
strategies.Week 14 Professional Asset Management
Chap 25
Here we will discuss most important aspects of
professional asset management such as structure,
compensation, performance and ethics.Week 14 Evaluation of Portfolio Performance
Chap 26
In this week(s) we will discuss number of
portfolio performance measures, differences
among those measures from investor as well asmanager point of view.
Portfolio Risk Management TBD We will briefly look at different contemporary
portfolio risk management strategies.
Textbook(s)/Supplementary Readings
Investment Analysis and Portfolio Management, 7e, Frank K. Reilly, Bernard J. Hank, South-Western College.