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Homework 1
Tao Wang
PH 300B
Telephone 997-5445
Office hours:
Classrooms: Business 350: PH154
Course page: http://www.qc.edu/~twang/course/350/investments.html
The course will focus on the application of financial theory to the issues and problems of investment management. We will try to understand the valuation and selection of various investment instruments first and then move on to cover portfolio optimization issues (plus risk management). This course is more analytical than usual. Topics will include bond valuation and strategies, stock valuation and strategies; portfolio optimization and asset allocation, the CAPM, and their implications for investment management. The course will build upon the analytical skills developed in the econ/bus241 finance core course. The topics covered are part of the requirements for the Certified Financial Analyst (CFA) Degree of the Association of Investment Management and Research (AIMR).
Prerequisites: the finance core course and a working knowledge of basic statistics.
Required: Frank Reilly and Keith Brown Investment
Analysis and Portfolio Management, Thomson and Southwestern, 8th
edition.[RB] The text package includes access to the learning-center website
that facilitates the study of this material. This course intends to cover
Chapters 1-9, Chapters 17-19, and possibly Chapters 10-11 of RB.
Recommended: Philippe
Jorion, Value at Risk.[PJ]
Course Requirements & Grading
There is one group case, three homework assignments, two midterms and one final exam. The case may be analyzed & submitted in groups of 3 or less. The case is worth 10% of the course grade, each homework needs to be turned in, and the final exam is 30%. Class participation is worth 5%. Case grades will be based on presentation (50%) as well as analytical quality (50%). Each case write-up should include an executive summary and clear, well-designed exhibits in powerpoint format. The detail for the requirement of the case is enclosed HERE. The case is due on the date of the in-class discussion. For the case, we will have four or five groups presenting (each for 15 to 20 minutes) in class.
Homework 5%
Class Participation 5%
Cases 10% December 1
Midterm 1 25% October 13
Midterm 2 25% November 17
Final 30%
GRADE
DISTRIBUTION: you will get the higher grade
from either 1) grade from a distribution
that follows 15% - 20% As, 35% - 40% Bs, 30-35% Cs, 15% Ds or Fs
Or
2) grade from the following scale: 90+
As, 80-89 Bs, 70-79 Cs, 60-69 Ds, <60 F
Final exam date: during the final exam week
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Date |
Topic |
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BUS350--Investment Analysis: Review of the course, Calculation of
Returns (Geometric/Arithmetric), Index construction |
*RB Chs. 1-5. |
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Value at Risk |
Jorion, Value
at Risk Chapters 1-5 & Chapter 12. See *Value at Risk
and check Barry Schachter's website:
http://www.gloriamundi.org/. Also, see: Asset
Liability analysis |
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Lecture 3,
Lecture 4, Lecture 5 |
Annuity & Bond Valuation |
*RB Chs. 17-18. |
Asset/Liability & Bond Strategies |
*RB Chs. 18-19. |
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Efficient Market Hypothesis |
*RB |
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Portfolio Theory, Efficient frontiers in practice |
*RB Chs. 7 |
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Portfolio Theory, Efficient frontiers in practice |
*RB Chs. 7, Goetzmann & Edwards (1994): "Short
Horizon Inputs and Long Horizon Portfolio Choice" |
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CAPM |
*RB Chs. 8 Fama, E.F. and K.R. French, 1992, The Cross-Section of Expected Stock
Returns, Journal of Finance, 47, 427-465. Black, F., 1993, Beta and Return, Journal of Portfolio Management,
Fall, 8-18. |
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Multifactor Models |
*RB Ch 9 Fama, E.F. and
K.R. French, 1996, Multifactor Explanations of Asset Pricing Anomalies,
Journal of Finance, 51, 55-84. |
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Final Exam |
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Updated 8/30/2006