SCHOOL OF MANAGEMENT 2016-17

Date Modified: 25 July 2016 1 of 2

MN5612 – PORTFOLIO MANAGEMENT & INVESTMENTS

MODULE TYPE/SEMESTER: Core (20 credits), Semester Two

MODULE CO-ORDINATOR AND TUTOR: Dr Dimitris Chronopoulos

CONTACT DETAILS: dc45@st-andrews.ac.uk 01334 (46)1963 AIM: The aim of the course is to familiarise students with the theory and empirical evidence related to portfolio management and investment analysis. Topics include fundamentals of security valuation, choice theory, the functioning of capital markets and optimal portfolio construction. Emphasis will be on applied applications to theoretical concepts. Students will produce assessed work that has real market application for institutional investors, investment managers and investment consultants. METHOD OF TEACHING & LEARNING: The module will comprise a two hour lecture each week during the semester. In addition seminar like sessions will be held every fortnight, where students will be presenting their work on topics of their choice. LEARNING OUTCOMES: By the end of the module, students should be able to:

analyze and audit an environment using publically available information;

sort and assess the validity and importance of information;

understand the fundamentals of portfolio theory, investment policy and asset allocation techniques;

INDICATIVE TOPIC OUTLINE: The curriculum will comprise a variety of topics such as:

Utility theory The portfolio frontier

Optimal portfolio

CAPM Fixed income securities Return predictability

Date Modified: 25 July 2016 2 of 2

ASSESSMENT: Assignment One: Coursework (groupwork). This assignment is worth 20% of the module assessment. Assignment Two: In class test (individual). This assignment is worth 40% of the module assessment. Assignment Three In class test (individual). This assignment is worth 40% of the module assessment. READING LIST: The following general texts will provide relevant readings across most of the topics to be covered in the teaching programme:

Zvi Bodie, Alex Kane, and Alan J. Marcus, Investments, Latest edition, McGraw-Hill, Irwin, 2009.

Sharpe, W., Alexander, G. and Bailey, J., Investments, Latest edition, Prentice Hall, 1999.

Elton, J.E., Gruber, J.M., Brown, J.S., and Goetmann, N.W. Modern Portfolio Theory and Investment Analysis, Latest edition, Wiley.

Reilly F. and K. Brown (2006) Investment Analysis and Portfolio Management, Latest edition, Thomson South-Western

Copeland T.E. and J.F. Weston, Financial Theory and Corporate Policy, Addison-Wesley, 1988.

Hoy et.al., Mathematics for Economics, 2nd Ed., MIT Press, 2001.

Huang, C.F. and R.H. Litzenberger, Foundations for Financial Economics, North-Holland, 1988.

B. Malkiel. A random walk down wall street. WW Norton & Co, 2000.

P. Bernstein. Capital Ideas. Free Press, 1992.

R. Haugen. The new finance: The case against efficient markets. (2nd Ed.), Prentice Hall, 1999.

B. Warwick. Searching for Alpha. Wiley, 2000.

N. Taleb. Fooled by randomness: The hidden role of chance in markets and life. Texere, 2001.

JOURNALS:

Journal of Finance

Journal of Financial Economics

Journal of Financial Intermediation

Journal of Financial and Quantitative Analysis

Review of Financial Studies

Review of Finance