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AFIN7039 – Portfolio Management

2024 – Session 1, In person-scheduled-weekday, North Ryde

General Information

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Unit convenor and teaching staff Unit convenor and teaching staff
Chloe Chen
yi.chen19@mq.edu.au
Credit points Credit points
10
Prerequisites Prerequisites
Admission to MRes
Corequisites Corequisites
Co-badged status Co-badged status
AFIN8039
Unit description Unit description

This unit covers the principles, theory and techniques of portfolio management. Study of this unit provides a basis for the effective management of investment portfolios, as well as an understanding of the limitations of techniques commonly applied to problems of portfolio construction and performance evaluation.

Important Academic Dates

Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates

Learning Outcomes

On successful completion of this unit, you will be able to:

  • ULO1: Explain the behavioural and statistical assumptions underlying the tools and techniques of portfolio management and have developed an awareness of their rationale and limitations.
  • ULO2: Recognise the economic principles of arbitrage and market efficiency.
  • ULO3: Apply key factor pricing models to practical problems in portfolio construction and performance evaluation.
  • ULO4: Generalise the sources of modelled risk and approaches to managing such exposures.
  • ULO5: Critically review and appraise the literature in portfolio management.

General Assessment Information

The following late penalty clause for written assignments should be inserted in this section.

Late Assessment Submission Penalty (written assessments) 

 Unless a Special Consideration request has been submitted and approved, a 5% penalty (of the total possible mark) will be applied each day a written assessment is not submitted, up until the 7th day (including weekends). After the 7th day, a grade of ‘0’ will be awarded even if the assessment is submitted. Submission time for all written assessments is set at 11.55 pm. A 1-hour grace period is provided to students who experience a technical concern.  

For any late submissions of time-sensitive tasks, such as scheduled tests/exams, performance assessments/presentations, and/or scheduled practical assessments/labs, students need to apply for Special Consideration.

 

Mid Session Test

Assessment Type 1: Quiz/Test

Indicative Time on Task: 15 hours

Due: Week 8

Weighting: 20%

An in-class mid-session test lasting 90 minutes will be held in week 8 to give students practice with a summative task and to provide feedback on their progress midway through the session.

 

Individual Assignment 

Assessment Type 1: Project

Indicative Time on Task: 20 hours

Due: Week 10

Weighting: 30%

Students will conduct quantitative and qualitative analysis on a finance scenario/problem and produce a report on the findings.

 

Final Examination

Assessment Type 1: Examination

Indicative Time on Task: 20 hours

Due: University Examination Period

Weighting: 50%

A two-hour exam will be held during the University Examination Period.

 

1 Assessment Type 1: If you need help with your assignment, please contact: • the academic teaching staff in your unit for guidance in understanding or completing this type of assessment • the Writing Centre for academic skills support.

2 Indicative time-on-task is an estimate of the time required for completion of the assessment

Assessment Tasks

Name Weighting Hurdle Due
Mid Session Test 20% No Week 8
Assignment 30% No Week 10
Final Examination 50% No University Examination Period

Mid Session Test

Assessment Type 1: Quiz/Test
Indicative Time on Task 2: 15 hours
Due: Week 8
Weighting: 20%

 

A mid session test will be held to give students practice on a summative task and to provide feedback on their progress midway through the session.

 
On successful completion you will be able to:
  • Explain the behavioural and statistical assumptions underlying the tools and techniques of portfolio management and have developed an awareness of their rationale and limitations.
  • Recognise the economic principles of arbitrage and market efficiency.
  • Apply key factor pricing models to practical problems in portfolio construction and performance evaluation.
  • Generalise the sources of modelled risk and approaches to managing such exposures.

Assignment

Assessment Type 1: Quantitative analysis task
Indicative Time on Task 2: 20 hours
Due: Week 10
Weighting: 30%

 

The assignment will involve the analysis of a financial scenario or problem.

 
On successful completion you will be able to:
  • Recognise the economic principles of arbitrage and market efficiency.
  • Apply key factor pricing models to practical problems in portfolio construction and performance evaluation.
  • Generalise the sources of modelled risk and approaches to managing such exposures.
  • Critically review and appraise the literature in portfolio management.

Final Examination

Assessment Type 1: Examination
Indicative Time on Task 2: 30 hours
Due: University Examination Period
Weighting: 50%

 

A final exam of two hours will be held during the University Examination Period.

 
On successful completion you will be able to:
  • Explain the behavioural and statistical assumptions underlying the tools and techniques of portfolio management and have developed an awareness of their rationale and limitations.
  • Recognise the economic principles of arbitrage and market efficiency.
  • Apply key factor pricing models to practical problems in portfolio construction and performance evaluation.
  • Generalise the sources of modelled risk and approaches to managing such exposures.

1 If you need help with your assignment, please contact:

  • the academic teaching staff in your unit for guidance in understanding or completing this type of assessment
  • the Writing Centre for academic skills support.

2 Indicative time-on-task is an estimate of the time required for completion of the assessment task and is subject to individual variation

Delivery and Resources

There are no required textbooks that must be bought. But the following textbooks are recommended:

• Investments, Zvi Bodie, Alex Kean, Alan J. Marcus, McGraw-Hill Education, Latest Edition

• Investment Analysis and Portfolio Management, Reilly and Brown, South-Western Cengage Learning

• Running Money, Professional Portfolio Management, Stewart, Piros and Heisler, McGraw-Hill Irwin

• Modern Portfolio Theory and Investment Analysis, Elton, Gruber, Brown and Goetzmann, John Wiley and Sons, Inc.

• Modern Investment Theory, Haugen, Prentice Hall

• Investment Science, David Luenberger, Oxford University Press

These books are available for purchase from the online bookshop Booktopia, and copies will be available in the closed reserve section of the Macquarie Library.

Policies and Procedures

Macquarie University policies and procedures are accessible from Policy Central (https://policies.mq.edu.au). Students should be aware of the following policies in particular with regard to Learning and Teaching:

Students seeking more policy resources can visit Student Policies (https://students.mq.edu.au/support/study/policies). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.

To find other policies relating to Teaching and Learning, visit Policy Central (https://policies.mq.edu.au) and use the search tool.

Student Code of Conduct

Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/admin/other-resources/student-conduct

Results

Results published on platform other than eStudent, (eg. iLearn, Coursera etc.) or released directly by your Unit Convenor, are not confirmed as they are subject to final approval by the University. Once approved, final results will be sent to your student email address and will be made available in eStudent. For more information visit ask.mq.edu.au or if you are a Global MBA student contact globalmba.support@mq.edu.au

Academic Integrity

At Macquarie, we believe academic integrity – honesty, respect, trust, responsibility, fairness and courage – is at the core of learning, teaching and research. We recognise that meeting the expectations required to complete your assessments can be challenging. So, we offer you a range of resources and services to help you reach your potential, including free online writing and maths support, academic skills development and wellbeing consultations.

Student Support

Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/

The Writing Centre

The Writing Centre provides resources to develop your English language proficiency, academic writing, and communication skills.

The Library provides online and face to face support to help you find and use relevant information resources. 

Student Services and Support

Macquarie University offers a range of Student Support Services including:

Student Enquiries

Got a question? Ask us via AskMQ, or contact Service Connect.

IT Help

For help with University computer systems and technology, visit http://www.mq.edu.au/about_us/offices_and_units/information_technology/help/. 

When using the University's IT, you must adhere to the Acceptable Use of IT Resources Policy. The policy applies to all who connect to the MQ network including students.

Unit information based on version 2024.02 of the Handbook