Portfolio and Fund Management

Course aim

This course considers the principles of modern portfolio theory and its applications to the technical and practical aspects of portfolio design. The implications of the theory include an examination of the models for the relationship of risk and return as well as portfolio performance evaluation. The course also covers equity security analysis and fundamental valuation, the measurement and management of interest rate risk for bond portfolios, and the pricing and use of derivative securities.

Course content

Introduction to investment management and analysis: quantitative techniques in investment management; mean-variance and portfolio optimisation.
Portfolio theory: modern portfolio theory (MPT); capital asset pricing model (CAPM); index models; arbitrage pricing theory (APT); empirical evidence and market efficiency.
Asset markets: bonds; equities; derivatives – security analysis, interest rate risk, valuation.
Investment strategies: portfolio construction and management strategies; the asset allocation process.
Portfolio management: active versus passive investment strategies; market timing; security and asset class selection; evaluating portfolio performance.

Textbook(s)

Bodie Z, Kane A and Marcus AJ 2013, Essentials of Investments, 9th edn, The McGraw-Hill Companies, USA

Bodie Z, Kane and Marcus AJ 2013, Solutions manual to accompany essentials of investments, 9th edn, The McGraw-Hill Companies, USA

Prerequisite(s)

Corequisite(s)

Nil

Teaching method

Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.

Assessment

Assignment 1 - Investment Fundamentals, Assignment 2 - Portfolio Analysis, Examination

Fees

EFTSL*: 0.125
Commonwealth Supported program (Band 3)
To determine the fee for this course as part of a Commonwealth Supported program, go to:
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Fee-paying program for domestic and international students
International students and students undertaking this course as part of a postgraduate fee paying program must refer to the relevant program home page to determine the cost for undertaking this course.

Non-award enrolment
Non-award tuition fees are set by the university. To determine the cost of this course, go to:
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Not all courses are available on all of the above bases, and students must check to ensure that they are permitted to enrol in a particular course.

* Equivalent Full Time Study Load. Please note: all EFTSL values are published and calculated at ten decimal places. Values are displayed to three decimal places for ease of interpretation.