Students
AFIN352 – Applied Portfolio Management
2014 – S2 Day
General Information
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| Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Ryle Perera
Contact via ryle.perera@mq.edu.au
E4A 229
Refer to iLearn
Administration
Mai Nguyen
Contact via Email
Refer to iLearn
Refer to iLearn
Angela Chow
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| Credit points |
Credit points
3
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| Prerequisites |
Prerequisites
39cp including (ACCG252 or AFIN252)
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| Corequisites |
Corequisites
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| Co-badged status |
Co-badged status
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| Unit description |
Unit description
This unit provides students with the analytical skills and techniques required to effectively manage diversified portfolios of securities. The first section of the unit prepares students for asset allocation management and performance assessment of diversified portfolios. Section two reviews issues relating to the management of portfolios containing options, futures and other derivatives. After completing this unit students have greater knowledge for effective portfolio management and an increased awareness of potential practical problems in implementation. This unit aims to develop graduate capabilities in critical, analytical and integrative thinking about portfolio management; and increases the capability of graduates to exercise professional judgment.
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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:
- Understand the investment decision making processes from the perspective of the portfolio manager
- Develop skills to apply the ideas of the Mean Variance Approach to Asset Allocation
- Develop a fundamental understanding of basic asset allocation tools and progress to advanced topics, such as estimation of inputs etc.
- Read and interpret current research in portfolio management and apply to project work
Assessment Tasks
| Name | Weighting | Due |
|---|---|---|
| Class Participation | 5% | Weeks 2-13 |
| Class Test | 15% | Week 8 |
| Assignment | 20% | Week 10 |
| Final Examination | 60% | University Examination Period |
Class Participation
Due: Weeks 2-13
Weighting: 5%
Each week you will be marked on your participation in problem solving activities as well as an oral component where you will be asked to critically analyze and discuss a tutorial question.
What is required to complete the unit satisfactorily
Regular participation in problem solving activities and class discussions as well as completion of homework assignments by the due date.
On successful completion you will be able to:
- Read and interpret current research in portfolio management and apply to project work
Class Test
Due: Week 8
Weighting: 15%
Submission
The Class Test is scheduled to be held during regular lecture day and time in Week 8 (week commencing 7th October, 2014). Refer to iLearn for further details (test venues will be posted closer to the class test date).
Total time available for the class test is 90 minutes. The class test is based on topics covered during lectures 1 to 6, inclusive. No dictionaries of any kind are allowed in the class test. Non-programmable calculators are allowed, provided that they are not capable of storing text.
Extension
No extensions will be granted. Students who do not sit the test will be awarded a mark of 0, except for cases in which an application for special consideration is made and approved. Students who have not completed this exam will be awarded a mark of zero for this task, except for cases in which an application for special consideration is made and approved. If approval is granted then you have to complete a supplementary class test during week 10 commencing (20th October, 2014).
On successful completion you will be able to:
- Understand the investment decision making processes from the perspective of the portfolio manager
- Develop skills to apply the ideas of the Mean Variance Approach to Asset Allocation
- Develop a fundamental understanding of basic asset allocation tools and progress to advanced topics, such as estimation of inputs etc.
Assignment
Due: Week 10
Weighting: 20%
The assignment question will be posted on iLearn in Lecture Week 3 (commencing 18th August, 2014). Students will be required to carry out research as a group (4-5 students) to meet the requirements of the assignment. These groups must be formed by Lecture Week 3. Groups must be composed of students within the same tutorial group. Tutors must be advised of the members of these groups by the end of Lecture Week 3.
Submission
The assignment must be submitted by each group in type written format (one for each group. No electronic submissions allowed) to BESS in Lecture Week 10.
Extension
No extensions will be granted. Students who have not submitted the task prior to the deadline will be awarded a mark of 0 for the task, except cases in which an application for special consideration is made and approved.
On successful completion you will be able to:
- Understand the investment decision making processes from the perspective of the portfolio manager
- Develop skills to apply the ideas of the Mean Variance Approach to Asset Allocation
- Develop a fundamental understanding of basic asset allocation tools and progress to advanced topics, such as estimation of inputs etc.
- Read and interpret current research in portfolio management and apply to project work
Final Examination
Due: University Examination Period
Weighting: 60%
Examination conditions
The final exam is based on topics covered during lecture weeks 1 to 13, inclusive. Total time available for the final examination is 3 hours plus 10 minutes reading time. No dictionaries of any kind are allowed in the final examination. Non–programmable calculators are allowed, provided that they are not capable of storing text.
The University Examination period commences on 17th November 2014. You are expected to present yourself for examination at the time and place designated in the University Examination Timetable. The timetable will be available in draft form approximately eight weeks before the commencement of the examinations and in Final form approximately four weeks before the commencement of the examinations.http://www.timetables.mq.edu.au/exam
The University recognises that students may experience disruptions that adversely affect their academic performance in assessment activities. In case of an unavoidable and unexpected event or illness, an application for disruption to studies can be lodged. The Disruption to Studies Policy applies only to serious and unavoidable disruptions that arise after a study period has commenced. If your application is approved, a supplementary exam will be held after the formal exam.
Further information regarding supplementary exams, including dates, is available here:
http://students.mq.edu.au/student_admin/exams/disruption_to_studies/
What is required to complete the unit satisfactorily
To be eligible to pass this unit, a pass is required in the final examination.
On successful completion you will be able to:
- Understand the investment decision making processes from the perspective of the portfolio manager
- Develop skills to apply the ideas of the Mean Variance Approach to Asset Allocation
- Develop a fundamental understanding of basic asset allocation tools and progress to advanced topics, such as estimation of inputs etc.
Delivery and Resources
Classes
- The weekly three hour class time for this unit consists of a two hour lecture and a one hour tutorial.
- The timetable for classes can be found on the University web site at: http://www.timetables.mq.edu.au/
Prizes
Prizes for this unit (see).
http://www.businessandeconomics.mq.edu.au/undergraduate_degrees/prizes_scholarships
Required and Recommended Texts and/or Materials
- The required textbook is 'Running Money: Professional Portfolio Management', Scott D. Stewart, Christopher D. Piros, Jeffrey C. Heisler, McGraw Hill, 2011
- For the last two weeks of the unit, the required textbook is 'Fundamentals of Futures and Options Markets', John C. Hull, Sirimon Treepongkaruna, Richard Heaney, David Pitt and David Colwell, Person, 2014. However relevant resources and chapters will be provided to you (No hard-copy is required to purchase)
- These are available for purchase from the Macquarie University Co-op Bookshop, and a copy will be available in the closed reserve section of the Macquarie Library.
Technology Used and Required
Unit Web Page
- The web page for this unit can be found at: http://ilearn.mq.edu.au
- It is the responsibility of students to visit the unit site regularly. Course material is available on the learning management system (iLearn).
- Lecture notes, tutorial solutions, unit announcements, and other reference materials will be posed to this site throughout the semester.
Unit Schedule
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Lecture Week |
Lecture Topic |
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1 - (4 August) |
Introduction to Topic |
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2 - (11 August) |
Client Objectives for Diversified Portfolios |
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3 - (18 August) |
Asset Allocation: The Mean Variance Framework |
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4 - (25 August) |
The Investment Management Process |
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5 - (1 September) |
Introduction to Eqiuility Portfolio Investing |
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6 - (8 September) |
Equity Portfolio construction |
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7 - (15 September) |
Fixed-Income Management |
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22 September - 6 October |
Mid-semester recess |
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8 - (7 October) |
*Class Test* |
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9 - (13 October) |
Portfolio Management through Time |
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10 - (20 October) |
Performance Measurement and Attribution |
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11 - (27 October) |
Value at Risk |
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12 - (10 November) |
Exotic Options and other non-standard Products |
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13 - (17 November) |
Review |
Learning and Teaching Activities
Lectures
Tutorials
Policies and Procedures
Macquarie University policies and procedures are accessible from Policy Central. Students should be aware of the following policies in particular with regard to Learning and Teaching:
Academic Honesty Policy http://mq.edu.au/policy/docs/academic_honesty/policy.html
Assessment Policy http://mq.edu.au/policy/docs/assessment/policy.html
Grading Policy http://mq.edu.au/policy/docs/grading/policy.html
Grade Appeal Policy http://mq.edu.au/policy/docs/gradeappeal/policy.html
Grievance Management Policy http://mq.edu.au/policy/docs/grievance_management/policy.html
Disruption to Studies Policy http://www.mq.edu.au/policy/docs/disruption_studies/policy.html The Disruption to Studies Policy is effective from March 3 2014 and replaces the Special Consideration Policy.
In addition, a number of other policies can be found in the Learning and Teaching Category of Policy Central.
Student Code of Conduct
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/support/student_conduct/
Further information regarding supplementary exams, including dates, is available here:
http://students.mq.edu.au/student_admin/exams/disruption_to_studies/
Student Support
Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/
Learning Skills
Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to improve your marks and take control of your study.
Student Services and Support
Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.
Student Enquiries
For all student enquiries, visit Student Connect at ask.mq.edu.au
IT Help
For help with University computer systems and technology, visit http://informatics.mq.edu.au/help/.
When using the University's IT, you must adhere to the Acceptable Use Policy. The policy applies to all who connect to the MQ network including students.
Graduate Capabilities
Discipline Specific Knowledge and Skills
Our graduates will take with them the intellectual development, depth and breadth of knowledge, scholarly understanding, and specific subject content in their chosen fields to make them competent and confident in their subject or profession. They will be able to demonstrate, where relevant, professional technical competence and meet professional standards. They will be able to articulate the structure of knowledge of their discipline, be able to adapt discipline-specific knowledge to novel situations, and be able to contribute from their discipline to inter-disciplinary solutions to problems.
This graduate capability is supported by:
Learning outcomes
- Understand the investment decision making processes from the perspective of the portfolio manager
- Develop skills to apply the ideas of the Mean Variance Approach to Asset Allocation
- Develop a fundamental understanding of basic asset allocation tools and progress to advanced topics, such as estimation of inputs etc.
- Read and interpret current research in portfolio management and apply to project work
Assessment tasks
- Class Participation
- Class Test
- Assignment
- Final Examination
Critical, Analytical and Integrative Thinking
We want our graduates to be capable of reasoning, questioning and analysing, and to integrate and synthesise learning and knowledge from a range of sources and environments; to be able to critique constraints, assumptions and limitations; to be able to think independently and systemically in relation to scholarly activity, in the workplace, and in the world. We want them to have a level of scientific and information technology literacy.
This graduate capability is supported by:
Learning outcomes
- Understand the investment decision making processes from the perspective of the portfolio manager
- Develop skills to apply the ideas of the Mean Variance Approach to Asset Allocation
- Develop a fundamental understanding of basic asset allocation tools and progress to advanced topics, such as estimation of inputs etc.
- Read and interpret current research in portfolio management and apply to project work
Assessment tasks
- Class Participation
- Class Test
- Assignment
- Final Examination
Problem Solving and Research Capability
Our graduates should be capable of researching; of analysing, and interpreting and assessing data and information in various forms; of drawing connections across fields of knowledge; and they should be able to relate their knowledge to complex situations at work or in the world, in order to diagnose and solve problems. We want them to have the confidence to take the initiative in doing so, within an awareness of their own limitations.
This graduate capability is supported by:
Learning outcomes
- Understand the investment decision making processes from the perspective of the portfolio manager
- Develop skills to apply the ideas of the Mean Variance Approach to Asset Allocation
- Develop a fundamental understanding of basic asset allocation tools and progress to advanced topics, such as estimation of inputs etc.
- Read and interpret current research in portfolio management and apply to project work
Assessment tasks
- Class Participation
- Class Test
- Assignment
- Final Examination
Effective Communication
We want to develop in our students the ability to communicate and convey their views in forms effective with different audiences. We want our graduates to take with them the capability to read, listen, question, gather and evaluate information resources in a variety of formats, assess, write clearly, speak effectively, and to use visual communication and communication technologies as appropriate.
This graduate capability is supported by:
Learning outcomes
- Understand the investment decision making processes from the perspective of the portfolio manager
- Read and interpret current research in portfolio management and apply to project work
Assessment tasks
- Class Participation
- Class Test
- Assignment
- Final Examination
Changes from Previous Offering
Research and Practice
- This unit gives you practice in applying research findings in your assignments
- This unit gives you opportunities to conduct your own research
Weekly Curriculum and Homework Schedule
Readings: Lecture for week 1
· Running Money Chapter 1
Assignment Questions:
· Ch. 1: 1, 2, & 5
Readings: Lecture for week 2
· Running Money Chapter 2
Assignment Questions:
· Ch: 2 : 1,2 & 3
Readings: Lecture for week 3
· Running Money Chapter 3
Assignment Questions:
· See lecture notes
Readings: Lecture for week 4
· Running Money Chapter 6
Assignment Questions:
· Ch. 6: 3 &4 . See lecture notes for additional questions
Readings: Lecture for week 5
· Running Money Chapter 7
Assignment Questions:
· See lecture notes
Readings: Lecture for week 6
· Running Money Chapter 8
Assignment Questions:
· Ch. 8: 1 & 2
See lecture notes for additional questions
Readings: Lecture for week 7
· Running Money Chapter 9
Assignment Questions
· See lecture notes for questions
Readings: Lecture for week 9
· Running Money Chapter 12
Assignment Questions
· Ch. 12: 1,2,3,4,5&6
Readings: Lecture for week 10
· Running Money Chapter 13
Assignment Questions
· See lecture notes for questions
Readings: Lecture for week 12
· Hull et al. Chapter 20
Assignment Questions
· See lecture notes for additional questions
Readings: Lecture for week 12
· Hull et.al. Chapter 22
Assignment Questions
· See lecture notes for additional questions.
Review Lecture for week 13
· No new reading materials, revise lecture materials Weeks 1-12.
Changes since First Published
| Date | Description |
|---|---|
| 11/08/2014 | Line deleted |
| 06/08/2014 | Portfolio Theory will be covered |