UNIVERSITY OF DAYTON - DOC 2 by wuyunyi

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									                         UNIVERSITY OF DAYTON
                      Department of Economics and Finance
                       School of Business Administration
                         Course Syllabus (Winter 2008)

COURSE NO:         FIN 460
COURSE TITLE:      Portfolio Management and Security Analysis
TERM:              Winter 2006 (01/07/08 – 04/24/08)
CLASS MEET:        4:30 ~ 5:45 pm T TH, Miriam 103
CREDIT HOURS:      3
PREREQUISITE(S):   FIN 360, Investments

INSTRUCTOR:        Pei Peter Lung, Ph.D.
                   Office: Miriam 616
                   Phone: 937-229-3428
                   e-mail: peter.lung@notes.udayton.edu
                   Website: http://academic.udayton.edu/PeterLung

OFFICE HOURS:      10:00 am to 12: 00 pm, TTU, and by appointment

MANDATORY MATERIALS:

     Lecture Notes: listed on website: http://academic.udayton.edu/PeterLung
     Calculator:   A financial calculator is required. Many of the
                   homework and exam problems contain complex arithmetic and a
                   financial calculator is necessary to solve them. I recommend the
                   TI BAII PLUS. This calculator does everything needed in the
                   course. You will be responsible for learning how to use it on you
                   own.

COURSE DESCRIPTION:

     The trend in investment is to emphasize portfolio formation and risk management.
     Such is the focus of this course. While all portfolio managers should be familiar
     with the components of their portfolios, overwhelming evidence proves that asset
     allocation is what matters in the long run, with security selection playing a
     secondary role. Prior study in advanced investments is not a prerequisite.
     Through this course, students can discover the beauty, logic, and potential of
     modern portfolio management. The strength of this class is its application
     orientation and the transitions from theory to practice.




                                         1
COURSE OBJECTIVES:

            The objective of the course is to provide a comprehensive introduction to
     investment and security analysis theories and practices. This course also partially
     prepares students to take the Chartered Financial Analyst (CFA) examination (see
     www.AIMR.org). Through this course, students should know:

                    1. Essential portfolio principles and investment policies.
                    2. Construction of a portfolio according to an investor’s
                       objectives and constraints.
                    3. The application and limitations of modern portfolio theories
                       and security analysis.
                    4. Risk management of a portfolio.
                    5. Asset allocation strategies and the implications to portfolio
                       management.
                    6. The evaluation of portfolio performance and applications of
                       such evaluation criteria.

METHODOLOGY:

                    This course enables you to learn through class lectures, group
                    projects, internet activities, quizzes and exams. It requires your
                    interplay.

CLASS PARTICIPATION:

                    Class participation is important in this course. It includes your
                    questions and comments in class and after class. Students are
                    highly encouraged to raise questions and give comments on the
                    lectures.

CLASS ATENDANCE:

                    Students are required to attend all the classes. For any absence,
                    you MUST notify your instructor by phone, e-mail, or in person,
                    and make appointments to make up the classes.

POLICY ON MAKE-UP QUIZZES, EXAMS AND ASSIGNMENTS:

                    If you miss any quizzes, exams, and assignments, you must notify
                    the instructor by phone or in person as soon as reasonably possible
                    to make arrangements for the make-up quizzes, exams, and
                    assignments. For conflicts with official University business, notify
                    your instructor in writing 30 days prior to the exams and
                    assignments if possible and provide appropriate documentation.




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EXAMS:          There will be four exams, three midterms and a final. The
                tentative exam schedule is as follows.


                1st Midterm: Thu., Jan. 31, regular class hours
                2nd Midterm: Thu., Feb. 28, regular class hours
                3rd Midterm: Thu., Apr. 03, regular class hours
                Final Exam: See UD Bulletin

                Each exam is composed of multiple choice and short essay
                questions. You are responsible for bringing the following to each
                exam.

                A calculator
                Several number 2 pencils
                University of Dayton student picture ID

EVALUATION:     The total number of points possible for the class is 600.
                Here is the point breakdown:

                Exam I                                100 points
                Exam II                               100 points
                Exam III                              100 points
                Final Exam                            100 points
                Quiz/Homework                         100 points
                Term Projects                         100 points

                Total points possible                 600 points

                If you get at least 90% of these points (540) your grade is “A”.
                If you get 80-89.9% of these points (480-539.9) your grade is “B”.
                If you get 70-79.9% of these points (420-479.9) your grade is “C”.
                If you get 60-69.9% of these points (360-419.9) your grade is “D”.
                If you get less than 60% of these points (<360) your grade is “F”.

STUDENT DISABILITIES:

                Any student who, because of a disabling condition, may require
                some special arrangements in order to meet course requirements
                should contact the instructor as soon as possible to make necessary
                accommodations. Students should present appropriate
                verification. No requirement exists that accommodations be made
                prior to completion of this approved University process.




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                                              Tentative schedule:
 Month       Date                          Topic                             Reading Assignment   Homework (Quiz)
Jan.     08 (T)     Process of Portfolio Management and Security            Lecture 1
                    Analysis
         10 (TH)    The key concepts in Finance: TVM                        Lecture 2             Quiz 1



Jan.     15 (T)     The key concepts in Finance: TVM                        Lecture 2

         17(TH)     The key concepts in Finance:
                    Relationship Between Risk and Return
                                                                                                  Quiz 2
Jan.     22 (T)     The key concepts in Finance:
                    Investors’ utility function and attitudes to risk

         24 (TH)    Statistical Principles Useful in Finance:               Lecture 3             Quiz 3
                    Measures of return and risk


Jan.     29 (T)     Portfolio Objectives and Investment Policy              Lecture 4

         31 (TH)    Exam 1

Feb.     05 (T)     The Fundamentals of Individual Security Analysis:       Lecture 6
                    Different Approaches of Firm’s Valuation, Traditional
         07 (TH)    concepts in analyzing financial statements

Feb.     07 (T)     Equity Valuation: Discount dividend                     Lecture 6

         09 (TH)    Equity Valuation: Discount CF                           Lecture 7             Quiz 4


Feb.     14 (T)     Equity Valuation: Discount CF                           Lecture 7

         16 (TH)    Equity Valuation:                                       Lecture 8
                    Hybrid Valuation, Relative Valuation                                          Quiz 5




                                                              4
Feb.   21 (T)    Security Screening                                     Lecture 9
                 Market Efficiency

                 Anomalies in Equity Markets                            Lecture 10   Quiz 6
       23 (TH)




Feb.   28 (T)    Exam 2

Mar.   02 (TH)
                 The mathematics of diversification:                    Lecture 11
                 Portfolio Variance, Basic Algebra, Calculus (Partial
                 Differential), and matrix in Portfolio Management


Mar.   07 (T)    Risk Reduction Through Portfolio Formation             Lecture 11

       09 (TH)
                 Minimum Variance Portfolio (MVP)                       Lecture 12   Quiz 7

Mar.   14 (T)    Spring Break

       16 (TH)

Mar.   21 (T)    Minimum Variance Portfolio (MVP)                       Lecture 12

                 Construction of Efficient Frontier Line:
       23 (TH)                                                          Lecture 12
                 Markowitz’s full covariance matrix model                            Quiz 8

Mar.   28 (T)    Approaches to select optimal portfolios:               Lecture 13
                 Mean-Variance Approach and Stochastic Dominance
                 Approach

                 International Diversification:                         Lecture 14   Quiz 9
       30 (TH)
                 Ways of international diversification


Apr.   04 (T)    Exam 3

       06 (TH)
                 Fixed Income Securities in Portfolio Management        Lecture 15



Apr.   11 (T)    Fixed Income Securities in Portfolio Management        Lecture 15

       13 (TH)
                 Easter break (No classes)



Apr.   18 (T)    Fixed Income Securities in Portfolio Management        Lecture 15

       20 (TH)   Derivatives for portfolio management:                  Lecture 16
                 Futures                                                             Quiz 10

Apr.   25 (TH)   Derivatives for portfolio management:                  Lecture 16
                 Options and SWAPs
May              Final Exam




                                                         5
 Month        Date                          Topic                             Reading Assignment   Homework (Quiz)
Jan.     08          Process of Portfolio Management and Security            Lecture 1
         10          Analysis
                                                                                                   Quiz 1
                     The key concepts in Finance: TVM                        Lecture 2


         15          The key concepts in Finance: TVM                        Lecture 2
         17
                     The key concepts in Finance:                                                  Quiz 2
                     Relationship Between Risk and Return

                     The key concepts in Finance:
                     Investors’ utility function and attitudes to risk

         22          Statistical Principles Useful in Finance:               Lecture 3
         24          Measures of return and risk

                     Statistical Principles Useful in Finance:                                     Quiz 3
                     Measures of return and risk

         29          Portfolio Objectives and Investment Policy              Lecture 4
         31          Exam 1




Feb.     05          The Fundamentals of Individual Security Analysis:       Lecture 5
         07          Different Approaches of Firm’s Valuation, Traditional
                     concepts in analyzing financial statements
                                                                                                   Quiz 4
                     Security Analysis Techniques                            Lecture 6



         12          Equity Valuation: Discount CF                           Lecture 7
         14
                     Equity Valuation:                                       Lecture 8             Quiz 5
                     Hybrid Valuation, Relative Valuation

         19          Security Screening                                      Lecture 9
         21          Market Efficiency
                                                                                                   Quiz 6
                     Anomalies in Equity Markets                             Lecture 10

         26          Review for the 2nd midterm
         28          Exam 2




                                                               6
Mar.   04   The mathematics of diversification:                    Lecture 11
       06   Portfolio Variance, Basic Algebra, Calculus (Partial
            Differential), and matrix in Portfolio Management

       11   Risk Reduction Through Portfolio Formation             Lecture 11
       13   Minimum Variance Portfolio (MVP)                                    Quiz 7


       18   East Break
       20

       25   Construction of Efficient Frontier Line:               Lecture 12
       27   Markowitz’s full covariance matrix model

            Construction of Efficient Frontier Line:                            Quiz 8
            Diversification and Beta

Apr.   01   Approaches to select optimal portfolios:               Lecture 13
       03   Mean-Variance Approach and Stochastic Dominance
            Approach

            Exam 3


       08   International Diversification:                         Lecture 14
       10   Ways of international diversification

            Fixed Income Securities in Portfolio Management        Lecture 15   Quiz 9


       15   Fixed Income Securities in Portfolio Management        Lecture 15
       17   Derivatives for portfolio management:
            Futures                                                Lecture 16
                                                                                Quiz 10


Dec.   22   Derivatives for portfolio management:                  Lecture 16
       24   Options and SWAPs

            Review for the final exam.


             Final Exam




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