Registry
Module Specifications
Current Academic Year 2012 - 2013
Please note that this information is subject to change.
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| Description | |||||||||||||||||||||||||||||||||||||
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The objective of this module is to apply theoretical and analytical concepts to the investment management process. The course covers the theoretical and practical basis of portfolio management. It builds on the modern portfolio theory and focuses on the topics that are important for the practice of fund management. The course includes quantification of the relationship between risk and return, security valuation, asset allocation decisions, portfolio optimisation, performance measurement, portfolio analysis, implementation and computing technology that enhances fund management. The emphasis is on providing students with analytical skills that have an application value.The course aims to give students (1) a deep understanding of the investment management process, (2) be able to apply modern techniques to asset allocation and investment management, and (3) evaluate the performance of portfolio investments. | |||||||||||||||||||||||||||||||||||||
| Learning Outcomes | |||||||||||||||||||||||||||||||||||||
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1. Analyse mean-variance portfolio theory 2. Model asset prices 3. Examine portfolio investment strategies 4. Evaluate the performance of investment funds (and fund managers) 5. Apply modern techniques to asset allocation | |||||||||||||||||||||||||||||||||||||
All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml |
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| Indicative Content and Learning Activities | |||||||||||||||||||||||||||||||||||||
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Mean Variance Portfolio Theory. Risk and return; market efficiency; diversifiation; efficient frontier; minimum variance portfolio; correlation structures; constraining the efficient frontier - short sales, riskless borrowing and lending; constrained optimisation techniques and optimal portfolio selection. Index Models:Single index model; market model; multi-index model.Simple techniques for portfolio selection:The single index model to determine the efficient frontier.Utility Analysis:Preference and utility functions, axiomatic derivation of expected utility theorem; risk aversion.Equilibrium Models:Derivation and properties of the CAPM and related equilibrium models; empirical evidence and implications; derivation and properties of the APT; empirical evidence and implications.International Investing:Diversification advantages; derivation and implications of the international CAPM; exchange rate risk.Evaluating Portfolio Performance:Risk-adjusted measures; Sharpe, Treynor and Jensen Values; Fama decomposition; mutual fund performance.Portfolio Investment Strategies:Size (market capitalisation) strategies; high versus low market strategies; momentum versus contrarian strategies.Stock Selection and Market Timing:Measuring performance in stock selection and market timing; performance persistence among top and bottom performing fund managers; performance persistence and market efficiency.. | |||||||||||||||||||||||||||||||||||||
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| Indicative Reading List | |||||||||||||||||||||||||||||||||||||
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| Other Resources | |||||||||||||||||||||||||||||||||||||
| 2162, Research Papers, 0, Course handouts, incorporating reading and other material will be circulated as appropriate., | |||||||||||||||||||||||||||||||||||||
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| Programme or List of Programmes | |||||||||||||||||||||||||||||||||||||
| PBSSA | PG Exchange(Business School) | ||||||||||||||||||||||||||||||||||||
| PBSSAO | PG Study Abroad(Business School) | ||||||||||||||||||||||||||||||||||||
| Timetable this semester: Timetable for EF584 | |||||||||||||||||||||||||||||||||||||
| Date of Last Revision | 20-NOV-09 | ||||||||||||||||||||||||||||||||||||
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