BA 443 – Portfolio Management
Spring 2007 Section 1
TR 8 – 9:50 a.m.
Power Point Slides Assignments,
Exercises and Solutions Other Documents
INSTRUCTOR: Prem
Mathew
Bexell
424
737-6030,
prem.mathew@bus.oregonstate.edu
OFFICE HOURS : MTW
10 – 11 a.m.
DESCRIPTION: This course provides students with the
quantitative and qualitative skills necessary for the construction,
revision
and evaluation of financial portfolios. Students will first be introduced to the
portfolio formation
and
asset allocation process. After revisiting the mathematics of portfolio
construction and diversification,
students
will develop an understanding of equity and bond portfolio management
strategies. The course
will
culminate with a discussion of portfolio performance evaluation. This course
will follow the
general
approach used in the Chartered Financial Analyst (CFA) program and is particularly
appropriate
for
anyone considering a career in the investment banking industry.
PREREQUISITE: BA 442
MATERIALS: Text: Reilly, F.K., and
K.C. Brown, 2006, Investment Analysis and Portfolio Management, Eight Edition,
Thomson South-Western.
Materials
on Reserve: Some of the material covered in the course will be from other
sources. I will have
copies of these sources
on reserve in the library as well as in my office.
Power point slides will
be available by Sunday evening for the next week’s lectures. Students are
expected to bring these
slides to class. These slides and other course documents
can be accessed through
the COB course materials website at http://classes.bus.oregonstate.edu/ba443.
TEXT WEBSITE: The text’s website can be
accessed through http://reilly.swlearning.com.
GRADING: Your
final grade will be will be determined by the following weights.
Midterm Exam: 25%
Excel
Assignments (2): 10%
Stock-Trak
Assignments (4): 30%
Final Exam:
35%
Homework assignments: Homework assignments will be provided to
prepare students for the midterm
and final exams. When appropriate, in-class exercises will
also be provided. These assignments and exercises
will not be graded.
Midterm and Final
Exams: Students that cannot make an exam
must notify me prior to the day of the exam.
The final exam will be
cumulative.
Stock-Trak and Excel Assignments:
The Stock-Trak and Excel assignments allow students to employ
the portfolio management
tools they obtain in the course. Students will be expected to carry out basic
equity and
bond strategies and
assess the performance of these strategies. A more detailed description of the
requirements
for these assignments
will be provided in class.
COURSE
OUTLINE: The following serves as
a tentative outline for the course. All
chapters listed will be covered to some extent,
time permitting. Please make note of the midterm exam
dates. Students will only be responsible
for sections of
chapters covered in
class.
Wk. of Topic
_______________________________________________________________________
Apr 2 Course
Introduction
Topic: Portfolio Formation
The
Asset Allocation Decision RB
2 (pp. 37-56)
Guest
Speaker: Kerry Dyer, Smith Barney (Apr. 5)
Apr 9 Topic: Asset Allocation Strategy
The Asset Allocation
Decision RB 2 (pp. 56-63)
Equity
Portfolio Management Strategies RB
16 (pp. 606-615)
Security
Market Indices RB
5
“Does Asset
Allocation Policy
Explain 40,
90 or 100 Percent of Performance?”
Ibbotson and
Kaplan (2000) RM 1
Apr 16, 23 Topic: Capital Market Expectations
Capital Market
Expectations RM
2
An Introduction
to Asset Pricing Models RB
8
Multifactor
Models of Risk and Return RB
9 (pp. 279-292)
Apr 30 Topic: Portfolio Construction
Asset Allocation RM
3
An Introduction to
Portfolio Management RB
7
May 7 Topic: Active Equity Portfolio Management
Efficient Capital
Markets RB 6 (pp. 191-197)
Equity Portfolio Management
Strategies RB 16
(pp. 615 – 634)
MIDTERM: May 10th
May 14 Industry Analysis RB
13 (pp. 472-481)
“Modern Tactical Asset
Allocation” Silva (2006) RM 4
Quantitative Stock
Selection*
May 21 Topic: Bond Portfolio Management
Bond Portfolio
Management Strategies RB
19 (pp. 758 – 772)
` Topic: Portfolio Monitoring and Rebalancing
Monitoring and
Rebalancing RM
5
May 28 Topic: Portfolio Performance Measurement
Evaluation of
Portfolio Performance RB 25
Evaluating
Portfolio Performance RM
6
Jun 4 Topic: Hedge Funds (time permitting)
Professional Asset
Management
RB 24 (pp. 1016-1026)
FINAL EXAM: Wednesday, June 13th,
12 p.m.
_______________________________________________________________________________
RB: Reilly and Brown.
RM: Reserve Materials
* No outside reading for
this topic
ATTENDANCE
AND
CLASSROOM
ETIQUETTE: Although attendance will never formally be
taken, it is expected that students will attend every lecture and will
be
held responsible for all materials covered in class. Students may use
electronic devices only for note-taking
and
other class purposes. Students are expected to come to class on time.
ACADEMIC
HONESTY: For information about
academic integrity and the University's policies and procedures in this area, please
refer
to the Student Conduct web site at: http://www.orst.edu/admin/stucon/achon.htm
and the section on Academic
Regulations in the OSU
Schedule of Classes.
STUDENTS
WITH
DISABILITIES: Accommodations are
collaborative efforts between students, faculty and Services for Students with
Disabilities
(SSD). Students with accommodations approved
through SSD are responsible for contacting the faculty member
in charge of the course prior to or during the
first week of the term to discuss accommodations. Students who
believe they are eligible for accommodations but
who have not yet obtained approval through SSD should contact
SSD immediately at 737-4098.