Mb411 Portfolio Management Paper
FINA 411
Portfolio Management
Winter 2015
Section D
Instructor
Dr. Yuan Wang
Office
MB 12-317
Phone
(514) 848-2424 ext. 2913
E-mail
yuan.wang@concordia.ca
Office Hours
Tuesday 14:30-16:30
(or by appointment)
Class Time:
Tuesday
08:45-11:30
OBJECTIVE:
This course focuses on modern investment theory and its application to the management of entire portfolios. It will consist of lectures, discussions of cases and articles, and video presentations. Topics include: a) construction of optimal asset portfolios using techniques such as the single index model, b) extensions of the capital asset pricing model: theory and tests, c) criteria for evaluation of investment performance, d) active vs. passive portfolio management,
e) investment …show more content…
strategies. Computer exercises are assigned to illustrate the application of the theory. Required Text:
Bodie, Zvi, Alex Kane, Allan J. Marcus, Stylianos Perrakis and Peter J. Ryan, Investments, 7th
Canadian edition, McGraw-Hill, 2011.
Case Readings and Summaries:
FINA 411 Cases. Fall 2013
1. Dimensional Fund Advisors: 1993, HBS Publishing # 294-025
2. AQR's Momentum Funds A and B, HBS Publishing # 211-025
3. Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy,
HBS Publishing # 209-047
4. The Harvard Management Co. and Inflation-Protected Bonds, HBS Publishing # 2010535
5. Investment Policy at the Hewlett Foundation (2005), HBS Publishing # 205126
6. Liquidity Effects in Corporate Bond Spreads (2013)
Please go to https://cb.hbsp.harvard.edu/cbmp/access/32311689 to buy the first five cases.
Please note that each student is required to buy his or her own copy. As with any copyrighted material, it is illegal to make copies of the package.
You are expected to read the assigned cases before class. The assignments will be announced at least one week in advance. I ask that you prepare a one-page summary of the respective case and hand it at the beginning of class. Your summary should point out the main contributions of the article. Each case will be discussed in class. To enhance your learning experience, it is essential that you have a good understanding of the material. The material in the cases will be included in the exams.
Your summaries will be graded on a pass/fail basis. Each assignment is worth 1% of your final grade. Everyone has to drop his/her worst score. So the maximum that one can get from the summaries is 5%. Even one gets 6 passes, he/she can only get 5% of the final grade. Summaries are limited to one letter-size page and should be written in your own words.
Summaries which contain sentences and paragraphs that were copied from the text will receive a failing grade. Each student must submit his or her own summary. I will not accept group submissions or submissions that were clearly copied from other students. In cases where two or more summaries are sufficiently similar, each submitting student will receive a failing grade.
Only typewritten answers will be accepted. I do not accept handwritten summaries, e-mail or fax submissions or summaries handed in after our regular class hours.
Case Presentations: The class will be divided into 12 groups of students. Each group will be assigned to do a 30-minute presentation on one of the six cases. Each case can only be presented by two groups. The presentation accounts for 8 percent of your final grade. Your presentation is expected to consider (not limited to) the following questions if relevant. Your presentation should be interesting, and you should not just list answers to those question.
1.
2.
3.
4.
5.
What are the background and main issues in the case?
What are the pros and cons of the strategy in the current case?
How does the case relate to what we have learned in the class?
Can you come up some new ideas (strategies) based the current case?
What do you learn from the current case?
Project: There will be one project assignment. The project could be completed either individually or in groups of 2 or 3 (3 maximum) students. The purpose of the project is to apply the materials that we covered in class to a real-world investment situation, or to help you understand a complex concept in a systematic way. You are expected to submit a project report. The report will account for 6% of your final grade.
Office Hours: Office hours are as stated above and by appointment. I am also available by email. Under normal circumstances, e-mail questions will be answered within two working days.
Answers to e-mail questions will be either a posting to the Message Board section of First
Class or a direct response to the sender. Be sure that you check the Message Board before you e-mail your questions. The information you are after could very well be there.
Quizzes: There will be 5 in-class quizzes during the semester. The quizzes will be graded on a pass/fail basis. Passing each quiz gives you 1.5% of your final grade. Everyone has to drop his/her worst score. So the maximum that one can get from the quizzes is 6%. Even one gets 5 passes, he/she can only get 6% of the final
grade.
Grading: If you miss the midterm examination, I require official documentation of the reason you missed the exam. Official documentation entails a doctor’s note or a police report. If you have official documentation, weight of the mid-term exam will be shifted to the final exam.
There is no makeup mid-term exam. If you do not have official documentation, you will receive a zero on the exam. Once assigned, the final grade in the class will not be changed except in the case of a recording error. If you feel that your grade is incorrect, you must notify me in writing during the one-week period following the return of the midterm. After that, the problem will not be researched. Please note that a request to have a question on your midterm regraded entails a request to have the entire exam re-graded.
Remedial work will not be allowed to improve your grade. You are encouraged to seek help at any time if you have questions about the material.
Please note that all grades for the class will be curved, i.e. your grade will not be determined based on a fixed point scale, but depends on your performance relative to other students in the class. Deferred final examinations will be allowed for students following University procedures for obtaining deferrals. Refer to http://registrar.concordia.ca/exam/faqdef.html for more information. The weights given to assignments and exams are:
% of total grade
Project Report
6%
Six Case summaries
5%
Case Presentation
8%
Quizzes
6%
Mid Term
25%
Final (Cumulative)
50%
Total
100%
Exam procedures: You should bring picture ID with you to all examinations in addition to your writing implements (no red or green pens allowed). Be sure to bring your own calculator and be sure that the batteries have sufficient power. For the midterm and the final examination, I will provide "formula sheet". Please write your name and ID on the top of this sheet and return it with the exam. You should write your exam in INK EXCEPT (for MCQ BLUE SHEET)
Class Etiquette:
I encourage my students to ask questions and participate in the discussion of various topics during the class. However I expect students to have social conversations outside the classroom. Social discussions are disruptive for the normal progress of the class. Please direct all your questions to me.
Academic Integrity: I expect honesty and integrity from my students. Cheating of any sort will
be dealt with as sternly as University policy allows.
The Code of Conduct (Academic) at Concordia University states that the “integrity of University academic life and of the degrees, diplomas and certificates the University confers is dependent upon the honesty and soundness of the instructor-student learning relationship and, in particular, that of the evaluation process. As such, all students are expected to be honest in all of their academic endeavours and relationships with the University.” [Undergraduate Calendar, section 16.3.14 or Graduate Calendar, Code of Conduct (Academic).]
All students enrolled at Concordia are expected to familiarize themselves with the contents of this Code. You are strongly encouraged to visit the following web address: http//johnmolson.Concordia.ca/ugrad/codeofconduct.pdf, which provides useful information about proper academic conduct.
Student Advocate Program has produced a short video presentation on academic misconduct as well as pamphlets in four languages: English, French, Chinese and
Arabic. These are available to students at: http://supportservices.concordia.ca/studentadvocateprogram Tentative Course Outline:
The dates for discussing cases and project assignments will be announced at least one week earlier.
Mid-term date: Mar. 8
Please note that this schedule is tentative, i.e. we will sometimes go faster or slower.
CLASS
TOPICS/CASES
1-2
4-6
MPT: Introduction & Portfolio
Theory
Capital Market Theory & Bond
Portfolio Management
Cases (one case each Class)
7
Review
8
Midterm
9-11
Cases(one case each Class)
12
Option
13
Review
3
th
Bodie 7
1-3, 4-6
7-9, 13-15
17-18
Portfolio Management
Winter 2015
Section D
Instructor
Dr. Yuan Wang
Office
MB 12-317
Phone
(514) 848-2424 ext. 2913
yuan.wang@concordia.ca
Office Hours
Tuesday 14:30-16:30
(or by appointment)
Class Time:
Tuesday
08:45-11:30
OBJECTIVE:
This course focuses on modern investment theory and its application to the management of entire portfolios. It will consist of lectures, discussions of cases and articles, and video presentations. Topics include: a) construction of optimal asset portfolios using techniques such as the single index model, b) extensions of the capital asset pricing model: theory and tests, c) criteria for evaluation of investment performance, d) active vs. passive portfolio management,
e) investment …show more content…
strategies. Computer exercises are assigned to illustrate the application of the theory. Required Text:
Bodie, Zvi, Alex Kane, Allan J. Marcus, Stylianos Perrakis and Peter J. Ryan, Investments, 7th
Canadian edition, McGraw-Hill, 2011.
Case Readings and Summaries:
FINA 411 Cases. Fall 2013
1. Dimensional Fund Advisors: 1993, HBS Publishing # 294-025
2. AQR's Momentum Funds A and B, HBS Publishing # 211-025
3. Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy,
HBS Publishing # 209-047
4. The Harvard Management Co. and Inflation-Protected Bonds, HBS Publishing # 2010535
5. Investment Policy at the Hewlett Foundation (2005), HBS Publishing # 205126
6. Liquidity Effects in Corporate Bond Spreads (2013)
Please go to https://cb.hbsp.harvard.edu/cbmp/access/32311689 to buy the first five cases.
Please note that each student is required to buy his or her own copy. As with any copyrighted material, it is illegal to make copies of the package.
You are expected to read the assigned cases before class. The assignments will be announced at least one week in advance. I ask that you prepare a one-page summary of the respective case and hand it at the beginning of class. Your summary should point out the main contributions of the article. Each case will be discussed in class. To enhance your learning experience, it is essential that you have a good understanding of the material. The material in the cases will be included in the exams.
Your summaries will be graded on a pass/fail basis. Each assignment is worth 1% of your final grade. Everyone has to drop his/her worst score. So the maximum that one can get from the summaries is 5%. Even one gets 6 passes, he/she can only get 5% of the final grade. Summaries are limited to one letter-size page and should be written in your own words.
Summaries which contain sentences and paragraphs that were copied from the text will receive a failing grade. Each student must submit his or her own summary. I will not accept group submissions or submissions that were clearly copied from other students. In cases where two or more summaries are sufficiently similar, each submitting student will receive a failing grade.
Only typewritten answers will be accepted. I do not accept handwritten summaries, e-mail or fax submissions or summaries handed in after our regular class hours.
Case Presentations: The class will be divided into 12 groups of students. Each group will be assigned to do a 30-minute presentation on one of the six cases. Each case can only be presented by two groups. The presentation accounts for 8 percent of your final grade. Your presentation is expected to consider (not limited to) the following questions if relevant. Your presentation should be interesting, and you should not just list answers to those question.
1.
2.
3.
4.
5.
What are the background and main issues in the case?
What are the pros and cons of the strategy in the current case?
How does the case relate to what we have learned in the class?
Can you come up some new ideas (strategies) based the current case?
What do you learn from the current case?
Project: There will be one project assignment. The project could be completed either individually or in groups of 2 or 3 (3 maximum) students. The purpose of the project is to apply the materials that we covered in class to a real-world investment situation, or to help you understand a complex concept in a systematic way. You are expected to submit a project report. The report will account for 6% of your final grade.
Office Hours: Office hours are as stated above and by appointment. I am also available by email. Under normal circumstances, e-mail questions will be answered within two working days.
Answers to e-mail questions will be either a posting to the Message Board section of First
Class or a direct response to the sender. Be sure that you check the Message Board before you e-mail your questions. The information you are after could very well be there.
Quizzes: There will be 5 in-class quizzes during the semester. The quizzes will be graded on a pass/fail basis. Passing each quiz gives you 1.5% of your final grade. Everyone has to drop his/her worst score. So the maximum that one can get from the quizzes is 6%. Even one gets 5 passes, he/she can only get 6% of the final
grade.
Grading: If you miss the midterm examination, I require official documentation of the reason you missed the exam. Official documentation entails a doctor’s note or a police report. If you have official documentation, weight of the mid-term exam will be shifted to the final exam.
There is no makeup mid-term exam. If you do not have official documentation, you will receive a zero on the exam. Once assigned, the final grade in the class will not be changed except in the case of a recording error. If you feel that your grade is incorrect, you must notify me in writing during the one-week period following the return of the midterm. After that, the problem will not be researched. Please note that a request to have a question on your midterm regraded entails a request to have the entire exam re-graded.
Remedial work will not be allowed to improve your grade. You are encouraged to seek help at any time if you have questions about the material.
Please note that all grades for the class will be curved, i.e. your grade will not be determined based on a fixed point scale, but depends on your performance relative to other students in the class. Deferred final examinations will be allowed for students following University procedures for obtaining deferrals. Refer to http://registrar.concordia.ca/exam/faqdef.html for more information. The weights given to assignments and exams are:
% of total grade
Project Report
6%
Six Case summaries
5%
Case Presentation
8%
Quizzes
6%
Mid Term
25%
Final (Cumulative)
50%
Total
100%
Exam procedures: You should bring picture ID with you to all examinations in addition to your writing implements (no red or green pens allowed). Be sure to bring your own calculator and be sure that the batteries have sufficient power. For the midterm and the final examination, I will provide "formula sheet". Please write your name and ID on the top of this sheet and return it with the exam. You should write your exam in INK EXCEPT (for MCQ BLUE SHEET)
Class Etiquette:
I encourage my students to ask questions and participate in the discussion of various topics during the class. However I expect students to have social conversations outside the classroom. Social discussions are disruptive for the normal progress of the class. Please direct all your questions to me.
Academic Integrity: I expect honesty and integrity from my students. Cheating of any sort will
be dealt with as sternly as University policy allows.
The Code of Conduct (Academic) at Concordia University states that the “integrity of University academic life and of the degrees, diplomas and certificates the University confers is dependent upon the honesty and soundness of the instructor-student learning relationship and, in particular, that of the evaluation process. As such, all students are expected to be honest in all of their academic endeavours and relationships with the University.” [Undergraduate Calendar, section 16.3.14 or Graduate Calendar, Code of Conduct (Academic).]
All students enrolled at Concordia are expected to familiarize themselves with the contents of this Code. You are strongly encouraged to visit the following web address: http//johnmolson.Concordia.ca/ugrad/codeofconduct.pdf, which provides useful information about proper academic conduct.
Student Advocate Program has produced a short video presentation on academic misconduct as well as pamphlets in four languages: English, French, Chinese and
Arabic. These are available to students at: http://supportservices.concordia.ca/studentadvocateprogram Tentative Course Outline:
The dates for discussing cases and project assignments will be announced at least one week earlier.
Mid-term date: Mar. 8
Please note that this schedule is tentative, i.e. we will sometimes go faster or slower.
CLASS
TOPICS/CASES
1-2
4-6
MPT: Introduction & Portfolio
Theory
Capital Market Theory & Bond
Portfolio Management
Cases (one case each Class)
7
Review
8
Midterm
9-11
Cases(one case each Class)
12
Option
13
Review
3
th
Bodie 7
1-3, 4-6
7-9, 13-15
17-18