Investment Management

Course aim

This course emphasises the fundamental principles of modern portfolio theory and its applications to the technical and practical aspects of investment analysis. 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 valuation, the measurement and management of interest rate risk for bond portfolios, and the pricing 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: the asset allocation process; management of bond portfolios, fundamental analysis of securities, risk management and portfolio strategies using derivatives.
Portfolio management: active versus passive investment strategies; market timing; security and asset class selection; evaluating portfolio performance; performance measures; construction and use of benchmarks.

Textbook(s)

Bodie, Z., Kane, A. and Marcus, A.J 2011, Investments, 9th, McGraw-Hill/Irwin

Bodie, Z., Kane, A. and Marcus, A.J (prepared by Racculia, N.) 2011, Student Solutions Manual to accompany Investments, 9th, McGraw-Hill/Irwin

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

Examination, Group quantitative assignment, Individual quantitative assignment

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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* 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.