Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Egon Kalotay
Contact via egon.kalotay@mq.edu.au
Veronica Chen
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Credit points |
Credit points
4
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Prerequisites |
Prerequisites
Admission to MRes
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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 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.
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Information about important academic dates including deadlines for withdrawing from units are available at https://www.mq.edu.au/study/calendar-of-dates
On successful completion of this unit, you will be able to:
Students enrolled in AFIN739 will sit similar assessment tasks to students enroilled in AFIN839, however, where appopriate, AFIN739 students will be required to apply techniques and/or demonstrate an ability to evaluate research findings beyond the level expected of AFIN839 students. Specific differences in assessment expectations (i.e. examinable content and/or assignment questions) will be highlighted explicitly as we go.
Name | Weighting | Due |
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Class Test 1 | 10% | Week 3 |
Class Test 2 | 25% | Week 7 |
Assignment | 25% | Week 12 |
Final Exam | 40% | TBA |
Due: Week 3
Weighting: 10%
Submission
20-minute, closed book, in-class test based on the material covered in weeks 1 and 2. Short answers and calculations. The test will commence at the beginning of the week 3 class.
Extension
The class test must be sat on time by all students. No time extension is provided for late arrival at the test.
Penalties
Students who miss the test, cheat or otherwise fail to comply with the test rules will be awarded zero marks.
Due: Week 7
Weighting: 25%
Submission
60-minute, closed book, in-class test based on the material covered in lectures 1 - 6 (inclusive). Short answers and calculations. The test will commence at the beginning of the week 7 class.
Extension
The class test must be sat on time by all students. No time extension is provided for late arrival at the test.
Penalties
Students who miss the test, cheat or otherwise fail to comply with the test rules will be awarded zero marks.
Due: Week 12
Weighting: 25%
Submission
This assignment involves multiple submissions: a progress report due in class in week 7 and a final submission due in week 12. Class presentations will also be scheduled for week 12.
Extension
Exceptional circumstances notwithstanding, no extensions will be provided. If you experience problems then please seek help sooner rather than later.
Penalties
Late submissions will be accepted up to 96* hours after the submission deadline. There will be a deduction of 10%* of the total available marks made from the total awarded mark for each 24 hour period or part thereof that the submission is late (for example, 25 hours late in submission - 20% penalty). This penalty does not apply for cases in which an application for special consideration is made and approved.
Due: TBA
Weighting: 40%
Submission
120-minute, closed book examination based on the material covered in lectures 1 - 13 (inclusive). Short answers and calculations. The exam will be held during the university examination period, at a time and date to be advised.
Note: students will be permitted to take into the examination a single-sided, hand-written A4 page of notes. The notes are to be submitted with the exam paper and must be clearly labelled with name and student ID.
Classes
Classes are 3-hour seminars running 2-5pm on Fridays in C5A 304. A typical class will be structured as a 2-hour lecture followed by 1-hour tutorial - though the distinction between the two may be blurred. Please feel free to ask (and answer!) questions throughout the class. Attendance at classes is compulsory.
Consultation hours: Thursdays 9:15-11:15am. If I change my consultation hours I will make an announcement on iLearn. If you cannot make it during my scheduled consultation hours, then please email me for an appointment.
Recommended Texts and/or Materials
It is not essential to purchase a textbook for the unit, but the following text is particularly useful.
Investment Analysis and Portfolio Management by Reilly and Brown. 10th Edition, 2011, South-Western Cengage Learning. ISBN 0538482389
We will supplement the lecture materials with readings from journals and other textbooks. Other useful texts are listed below.
Running Money, Professional Portfolio Management by Stewart, Piros and Heisler. 1st Edition, McGraw-Hill Irwin, 2011.
Modern Portfolio Theory and Investment Analysis by Elton, Gruber, Brown and Goetzmann. 7th Edition, John Wiley and Sons, Inc, 2007. ISBN 978-0470-05082-2
Modern Investment Theory by Haugen, 5th Edition, Prentice Hall, 2001. ISBN 0-13-019170-1
Investments by Levy and Post. Pearson Publishing, 2005. ISBN 0-273-65164-1
Refer to the unit web page for other useful references and resources.
Technology Used and Required
Necessary technology: scientific or business calculator without alphanumeric capabilities, internet access, computer with MS Excel.
Useful technology: The MATLAB software environment is very useful if you intend doing this sort of work professionally.
For details of the student version please refer to:
http://www.mathworks.com.au/academia/student_version/
Unit Web Page
Log in via https://ilearn.mq.edu.au
Teaching and Learning Activities
The first two hours of each class will be a lecture-style presentation, the third hour an interactive tutorial.
You are strongly advised to attempt all assigned tutorial questions before the weekly tutorial class, and before consulting the solutions. It is very easy to be lulled into a false sense of security by simply reading questions and looking at the solutions.
Each week you are required to submit your attempt at the tutorial questions. Success in this unit depends on keeping up with the weekly content, so doing the tutorial work is essential. Whilst no assessment marks are allocated to tutorial assignments, submission of your work will be recorded to provide evidence of your satifactory performance/progress.
Solutions to tutorial questions will be provided at the end of the week in which they're due.
Research and Practice
The unit schedule below is provided as a guide only. I may amend the coverage of topics as we go, so always check the lecture notes.
Week 1: Introduction & Overview (Week beginning February 29, 2016)
Topics: Objectives, some statistical and mathematical background, definitions etc.
Reading: Lecture notes and supplements, + Reilly and Brown (R&B) Ch 1 & 2.
Week 2: Traditional (Mean-Variance) Portfolio Theory (Week beginning March 7, 2016)
Topics: Risk aversion, discrete versus continuous compounding, optimisation problem, estimation issues
Reading:R&B Ch 7; Elton, Gruber, Brown and Goetzmann (EGBG) Ch 4 & 5.
Week 3: Informational Efficiency + Class Test 1 (Week beginning March 14, 2016)
Topics: Definitions, theory, empirical evidence with relevance to funds management.
Reading: R&B Ch 6 + Additional readings
Week 4: No Class due to Good Friday (Week beginning March 21, 2016)
Week 5: Asset Allocation Parameters (Week beginning March 28, 2016)
Topics: Issues of estimation, shrinkage, factor models
Reading: Haugen Chapter 6; EGBG Chapter 7.
Week 6: Equity Portfolio Management (Week beginning April 4, 2016)
Topics: Index investment, active management, investment strategies (strategic, tactical, statistical arbitrage etc), Black-Litterman
Reading: R&B Ch 16
Mid-Semester Break: April 11 - April 22, 2016
Week 7: Class Test 2 (Mid-semester) (Week beginning April 25, 2016)
Week 8: Performance Measurement (Week beginning May 2, 2016)
Topics: Jensen, Sharpe, Treynor Indices; Information ratio, Portfolio Performance Index (PPI), Extrapolation issues.
Reading: R&B Ch 25, plus additional readings on the unit web page.
Week 9: Portfolio Construction (Extensions),Derivatives and Portfolio Management (Week beginning May 9, 2016)
Topics: Alternative objectives and portfolio construction criteria; role of derivatives.
Reading: R&B Ch 20 + additional readings
Week 10: Hedge Funds, Alternative Assets and Risk Management (Week beginning May 16, 2016)
Topics: Alternative investments with particular focus on Hedge Funds
Reading: R&B Ch 24 + additional readings
Week 11: Models: Limitations & Failure (Week beginning May 23, 2016)
Topics: Behavioural biases, statistical issues and potential responses
Reading: To be provided
Week 12: Miscellaneous Extensions and Group Presentations (Week beginning May 30, 2016)
Reading: To be provided
Week 13: Summary (Week beginning June 6, 2016)
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
New Assessment Policy in effect from Session 2 2016 http://mq.edu.au/policy/docs/assessment/policy_2016.html. For more information visit http://students.mq.edu.au/events/2016/07/19/new_assessment_policy_in_place_from_session_2/
Assessment Policy prior to Session 2 2016 http://mq.edu.au/policy/docs/assessment/policy.html
Grading Policy prior to Session 2 2016 http://mq.edu.au/policy/docs/grading/policy.html
Grade Appeal Policy http://mq.edu.au/policy/docs/gradeappeal/policy.html
Complaint Management Procedure for Students and Members of the Public http://www.mq.edu.au/policy/docs/complaint_management/procedure.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.
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/support/student_conduct/
Results shown in iLearn, 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.
Supplementary Exams
Further information regarding supplementary exams, including dates, is available here
Macquarie University provides a range of support services for students. For details, visit http://students.mq.edu.au/support/
Learning Skills (mq.edu.au/learningskills) provides academic writing resources and study strategies to improve your marks and take control of your study.
Students with a disability are encouraged to contact the Disability Service who can provide appropriate help with any issues that arise during their studies.
For all student enquiries, visit Student Connect at ask.mq.edu.au
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.
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