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Investment Management

Опубликовано на портале: 25-01-2003
Год: Fall 2001
Язык: Английский
Тематические разделы: Экономика, Финансовая экономика

The objective of this course is to study the theory and empirical evidence relevant to institutional portfolio management. The major topics covered will include: optimal portfolio selection; the relation between risk and return; performance evaluation and measurement; active and passive portfolio management; measurement of trading costs; analysis of different equity market structures.

The primary emphasis of the course is on the design of common stock portfolios.
The course does not address the details of individual security valuation and selection (i.e., this is not a course about stock picking).
The course is applied in an important sense, in that various concepts and approaches are subjected to real-world data. On the other hand, the course devotes less time to the institutional aspects of investment management. Rather than describe the institutional details of current practice, the course atempts to provide a lasting conceptual framework in which to view the investment process and to analyze future ideas and changes in the investment environment.
Given that investment management requires one to understand and deal effectively with randomness, a good grounding in statistics is essential. Familiarity with basic statistics should extend through covariance, correlation and regression.
Required Course Materials
(1) Z. Bodie, A. Kane and A. J. Marcus, Investments 5th ed. (Homewood: Irwin, 2002).
(2) Bulk pack available from Wharton Reprographics. The bulk pack contains additional readings.
I. Introduction and Course Overview
II. Portfolio Theory
III. Implementation of Portfolio Theory: Factor Models and Beta Estimation
IV. Market Equilibrium and Asset Pricing Models: Theory and Empirical Tests
V. Long-Horizon Investing/Defined Benefit Pension Plans
VI. Costs of Trading; Implications for Portfolio Management
VII. Mutual Funds, Performance Evaluation
IX. Some Issues in Fixed Income Securities
X. Further Diversification Possibilities


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См. также:
James H. Lorie, Leonard J. Savage
Journal of Business. 1955.  Vol. 28. No. 4. P. 229-239. 
Fisher Black
Journal of Financial Economics. 1974.  Vol. 4. No. 1. P. 337-52 . 
Peter A. Diamond, John Geanakoplos
Franco Modigliani, Merton H. Miller
American Economic Review. 1958.  Vol. 48. No. 3. P. 261-297.