INVESTMENT MANAGEMENT

INVESTMENT MANAGEMENT, Spring 2016

Lecturer: Hongping Zhao      Class: 9:00 a.m. - 12:00 a.m.Monday

Email: zhp428@qq.com     Phone: 1391 3934 428

COURSE OBJECTIVES

The objective of this course is to undertake a rigorous study of the theory and empirical evidence relevant to institutional portfolio management. The major topics treated are:

• Optimal portfolio selection;

• The relation between risk and return;

• Market efficiency;

• Statistical/quantitative characterizations of asset markets;

• Asset allocation;

• Characteristics of quantitative allocation models

• The behavior and performance evaluation of mutual funds and hedge funds

  The primary emphasis of the course is on the design of common stock portfolios, but other investments will be included. The course does not address the details of individual security valuation and selection.

  The course is applied in an important sense, in that various concepts and approaches are taken to real-world data. On the other hand, the course devotes little time to the institutional aspects of investment management. Rather than describe the institutional details of current practice, the course attempts to provide a lasting conceptual framework in which to view the investment process and to analyze future ideas and changes in the investment environment.

    

  COURSE MATERIAL

    

  Bodie, Kane and Marcus: Investments, 9th Edition, McGraw-Hill, 2010

GRADES

Class Participation10%

Written assignments20%

Final Exam70%

Total100%

COURSE SCHEDULE

* The dates may be subject to change.