Unit convenor and teaching staff |
Unit convenor and teaching staff
Unit Convenor
Colin Zhang
E4A 227
Refer to iLearn
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Credit points |
Credit points
4
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Prerequisites |
Prerequisites
(STAT810 or STAT806) and ACST881
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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 examines: rational expectations theory, rational choice theory, behavioural economics, properties of risk measures, risk and insurance companies, stochastic interest rate models, mean-variance portfolio theory, asset pricing models and single and multifactor returns models.
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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:
Assessment Criteria
Assessment criteria for all assessment tasks will be provided on the unit iLearn site
GradeBook
Assignment and class test marks are available on GradeBook. It is the responsibility of students to view their marks for each within session assessment on iLearn within 20 working days of posting. If there are any discrepancies, students must contact the unit convenor immediately. Failure to do so will mean that queries received after the release of final results regarding assessment marks (not including the final exam mark) will not be addressed.
Feedback Prior to the Census Date
Self-assessment exercise question(s) will be released in Week 3 for feedback prior to the census date. Its answer will be also provided before the census date in Week 4.
Name | Weighting | Hurdle | Due |
---|---|---|---|
Class Test 1 | 20% | No | Week 7 |
Assignment | 20% | No | Wednesday 22 May 12:00noon |
Final Examination | 60% | No | Examination period |
Due: Week 7
Weighting: 20%
Class test 1 will be 90 minutes written papers with no reading time, held during the Lecture time.
No materials will be allowed to take into the class test 1. Non-programmable calculators with no text-retrieval capacity are allowed. Dictionaries are not permitted.
Formula sheet will be provided.
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.
Due: Wednesday 22 May 12:00noon
Weighting: 20%
Assignment has to be submitted via the tool on the unit's iLearn web site.
No extensions will be granted. 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. No submission will be accepted after solutions have been posted.
Due: Examination period
Weighting: 60%
The final examination will be a three-hour written paper with ten minutes reading time, held during the University Examination period.
No materials will be allowed to take into the exam. Non-programmable calculators with no text-retrieval capacity are allowed. Dictionaries are not permitted.
Formula sheet will be provided.
Classes
The timetables for classes can be found on the University website at: https://timetables.mq.edu.au/2019/.
You must attend the tutorial class. The tutorial is an opportunity for you to attempt the section exercises given at the end of each section of work, and to discuss problems with the tutor.
There is no tutorial held during Week 1.
Any alterations to the class times or locations will be advised in lectures and via the website.
Required and Recommended Texts and/or Materials Prescribed
Required texts
Lecture materials are available for downloading from iLearn website.
Recommended textbooks
Each copy of these books is available in the Reserve section of the Library and can be purchased from the Macquarie University Co-op bookshops
Optional ActEd material
Technology Used and Required
Students need to be able to use a computer to analyse financia problems l . You should be able to use a word processing package (such as WORD), a spreadsheet (such as EXCEL), a statistical package (such as MINITAB) and a programming languages (such as Visual Basics or Matlab). Although the unit does not aim to teach students how to use computers, as this is covered in prerequite units, you are encouraged to make use of spreadsheets and other software packages for the assignment.
Unit Web Page
To access the website, go to http://ilearn.mq.edu.au and login using your usual login and password.
Week 1 |
Utility theory |
Week 2 |
Stochastic dominance, Behavioural finance |
Week 3 |
Measures of investment risk |
Week 4 |
stochastic models of investment returns |
Week 5 |
Portfolio theory |
Week 6 |
Models of asset returns |
Week 7 |
Mid-term class test/ Asset pricing models |
Week 8 |
Asset pricing models |
Week 9 |
Characteristics of derivative securities |
Week 10 |
Characteristics of derivative securities |
Week 11 |
Binomial model |
Week 12 |
Runoff triangle |
Week 13 |
Runoff triangle /Revision |
Macquarie University policies and procedures are accessible from Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central). Students should be aware of the following policies in particular with regard to Learning and Teaching:
Undergraduate students seeking more policy resources can visit the Student Policy Gateway (https://students.mq.edu.au/support/study/student-policy-gateway). It is your one-stop-shop for the key policies you need to know about throughout your undergraduate student journey.
If you would like to see all the policies relevant to Learning and Teaching visit Policy Central (https://staff.mq.edu.au/work/strategy-planning-and-governance/university-policies-and-procedures/policy-central).
Macquarie University students have a responsibility to be familiar with the Student Code of Conduct: https://students.mq.edu.au/study/getting-started/student-conduct
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
Supplementary Exams
Further information regarding supplementary exams, including dates, is available here http://www.businessandeconomics.mq.edu.au/current_students/undergraduate/how_do_i/special_consideration
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
If you are a Global MBA student contact globalmba.support@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.
Our postgraduates will be able to demonstrate a significantly enhanced depth and breadth of knowledge, scholarly understanding, and specific subject content knowledge in their chosen fields.
This graduate capability is supported by:
Our postgraduates will be capable of utilising and reflecting on prior knowledge and experience, of applying higher level critical thinking skills, and of integrating and synthesising learning and knowledge from a range of sources and environments. A characteristic of this form of thinking is the generation of new, professionally oriented knowledge through personal or group-based critique of practice and theory.
This graduate capability is supported by:
Our postgraduates will be capable of systematic enquiry; able to use research skills to create new knowledge that can be applied to real world issues, or contribute to a field of study or practice to enhance society. They will be capable of creative questioning, problem finding and problem solving.
This graduate capability is supported by:
Edwin J. Elton and Martin J. Gruber: "Modern portfolio theory, 1950 to date",
Journal of Banking & Finance, 21 (1997) 1743-1759.
Markowitz, H.M. (March 1952): "Portfolio Selection", Journal of Finance, 7 (1): 77–91.
Ross, Stephen (1976): "The arbitrage theory of capital asset pricing", Journal of Economic Theory 13 (3): 341–360.
Neumann, John von & Morgenstern, Oskar (1944): Theory of Games and
Economic Behavior, Princeton, NJ: Princeton University Press.
John C. Cox, Stephen A. Ross, and Mark Rubinstein (1979): "Option Pricing:
A Simplified Approach", Journal of Financial Economics 7: 229-263.