At the end of this course, the students; 1) Learn modern theories of investment management and understand the advance knowledge behind investment strategies and portfolio management techniques. 2) Learn the implications of the efficient market hypotheses (EMH), and moves on the methodology and techniques for testing the EMH with empirical evidences for and against the EMH. 3) Learn the portfolio management techniquies (in particular, mean-variance analysis, portfolio selection, construction and optimization issues and asset pricing models of CAPM and APT along with the methodology and techniques for testing those asset pricing models) 4) Discuss the concepts of speculation, manipulation, arbitrage, market completeness. 5) Discuss the fundamental theorem of mathematical finance and turn these theories into an empirical work moreover learn to discuss their empirical. 6) Read portfolio management literature from 1900s to present.
MODE OF DELIVERY
Face to face
PRE-REQUISITES OF THE COURSE
No
RECOMMENDED OPTIONAL PROGRAMME COMPONENT
None
COURSE DEFINITION
In the context of portfolio theory, the foundation and management of securities' portfolios, the analysis of these investments will be examined. In addition, risk measurement tools used in the financial context (VAR,CAR,EVMA,EVA etc.)will be discussed in terms of risk management techniques.
COURSE CONTENTS
WEEK
TOPICS
1st Week
Introduction (Chapter 1)The Investment Environment, The Investment Process, Testing for Market Efficiency
2nd Week
Buying and Selling Securities (Chapter 2)Initial Public Offerings, Orders and Order Size, Time Limit Margin Accounts - Margin Purchases, Short Sales, Securities Lending, Aggregation
3rd Week
Security Markets (Chapter 3)Call and Continues Markets, Clearing Procedures, Insurance
4th Week
The Valuation of Riskless Securities (Chapter 5 and 14)Nominal versus Real Interest, Yield to Maturity,Spot Rates, Forward Rates, Compounding, Determination of Yield Spreads, Holding-Period Return
5th Week
The Valuation of Common Stocks (Chapter 17)Capitalization of Income Method of Valuation, The Zero Growth Model, The Constant Growth Model, The Multiple Growth Model, Models Based on P-E Ratios, Earnings
6th Week
Portfolio Selection - Construction - Optimization (Chapter 6 and 7)Valuation of Riskless Securities, Selection Problem ,Portfolio Analysis, Riskfree Borrowing and Lending, Efficient Frontier
7th Week
The Capital Asset Pricing Model (Chapter 9)Capital Market Line, Security Market Line, Market Model
8th Week
Midterm
9th Week
Factor Models (Chapter 10) One and Multiple-Factor Model
10th Week
Arbitrage Pricing Theory (Chapter 11)Factor Models, Pricing Effects
11th Week
Arbitrage Pricing Theory (Chapter 11)Two-Factor Models
12th Week
Portfolio Performance Evaluation (Chapter 24)Measures of Return, Making Relevant Comparisons
13th Week
Portfolio Performance Evaluation (Chapter 24)Market Indices, Risk-Adjusted Measures of Performance
14th Week
Portfolio Performance Evaluation (Chapter 24)Market Timing, Criticisms of Risk-Adjusted Performance Measures, Bond Portfolio Performance Evaluation
RECOMENDED OR REQUIRED READING
Sharpe, F. William, Alexander, J. Gordon, Bailey, V. Jeffery, "INVESTMENTS", 6. Basım, Prentice Hall Publishing Co.
PLANNED LEARNING ACTIVITIES AND TEACHING METHODS
Lecture,Discussion
ASSESSMENT METHODS AND CRITERIA
Quantity
Percentage(%)
Mid-term
1
50
Total(%)
50
Contribution of In-term Studies to Overall Grade(%)
50
Contribution of Final Examination to Overall Grade(%)
50
Total(%)
100
ECTS WORKLOAD
Activities
Number
Hours
Workload
Midterm exam
1
3
3
Preparation for Quiz
Individual or group work
1
40
40
Preparation for Final exam
1
70
70
Course hours
14
3
42
Preparation for Midterm exam
1
40
40
Laboratory (including preparation)
Final exam
1
10
10
Homework
5
20
100
Total Workload
305
Total Workload / 30
10,16
ECTS Credits of the Course
10
LANGUAGE OF INSTRUCTION
Turkish
WORK PLACEMENT(S)
No
KEY LEARNING OUTCOMES (KLO) / MATRIX OF LEARNING OUTCOMES (LO)
