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Опубликовано на портале: 27-06-2006
Факультет: Departament of Finance
Год: Fall 2001
Язык: Английский
Тематические разделы: Экономика, Рынок ценных бумаг, Рынок ценных бумаг: Управление портфелем ценных бумаг

The objective of this course is to undertake a rigorous study of theory and empirical evidence relevant to investment management. Topics covered include (1) the behavior of security prices, (2) objectives for short-term and long-term investing, (3) diversification, (4) constructing optimal portfolios, (5) modeling and estimating risk-reward tradeoffs, (6) active vs. passive strategies, and (7) evaluating the performance of managed portfolios. Much of the course is devoted to common stocks, but other investments, especially fixed-income securities, will be included. The course does not cover individual security selection and valuation (i.e., this is not a course on equity research or 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 and is fairly quantitative. Rather than describe the operational 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. The prerequisites are Fin 601 and Stat 621 (MBA students) or Fin 102 and Stat 101 (undergraduates). Given that investment management requires one to understand and deal effectively with randomness, a good grounding in statistics is essential, and familiarity with statistics should extend through multiple regression, covariance, and correlation.

1. Investments, by Zvi Bodie, Alex Kane, and Alan J. Marcus (Fifth Edition), McGraw-Hil.
2. Solutions Manual for use with Investments (recommended, since homework assignments will often include text problems).
3. Coursepack available from Wharton Reprographics.

Overview/Review; risk and return;
Value at Risk (VaR)
Volatility and diversification;fluctuations in volatility
Asset allocation: combining cash and a risky portfolio; stock index futures
Portfolio opportunities and choices; Modern Portfolio Theory
Market valuation and prediction
Portfolio optimization; effects of contraints
The CAPM; index funds
Estimating market sensitivity (beta);index models; market-neutral funds
Using equilibrium pricing theory for portfolio optimization: the Black-Litterman model
Multifactor models
Interest-rate risk
Long-horizon investing and shortfall risk
Testing pricing theories; smal-cap versus large-cap; economic issues
Trading costs; implementation of small-cap strategies
Performance evaluation; performance attribution
Growth versus value; risk versus sentiment
Momentum strategies; behavioral issues
Pension-fund shortfal and investment policy
Mutual fund ratings and style analysis
Mutual fund performance: historical evidence
Delta hedging; rebalancing; concave vs. convex strategies
Hedge funds
Issues in international investing


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