Spring 2005 MGMT 136 Portfolio Management

CALIFORNIA STATE UNIVERSITY, SACRAMENTO

College of Business Administration

COURSE OUTLINE AND GENERAL INFORMATION

Professor: Huang, David

OFFICE: Tahoe 2008

PHONE:

Email: OR

OFFICE HOURS: M,W 4:20-5:15 PM, T,TH 10:20-11AM and by Appointment

Class Meets in Tahoe 1009

Web page http://www.csus.edu/indiv/h/huangd/

COURSE OBJECTIVES

Throughout this course we present and discuss several theories. In all cases we first stipulate the set of assumptions underlying the specific theoretical model. Then we present empirical evidence which tests the predictive power of the theoretical model. Since the quality of a theoretical model can be judged either by the logic of the underlying assumptions or by its predictive power, we make an effort to weave empirical evidence with the theoretical models almost in every topic.

Recomended TEXTS

Modern Investment Theory, By Haugen, Person 5Th ed.

GRADING AND EXAMINATIONS

Your final grade will be determined as follows

Three exams @ 100 points 300 points

Homework and computer assignments To be Determined

1st Half of Final Project 100 points

Final project 100 points

Total possible points 500 points plus homework

Letter Grade in Class Percentage

A 93

A- 90

B+ 87

B 83

B- 80

C+ 77

C 70

C- 65

D 50, Below 50 F

* There will be no make-up exam.

* The assignments are due at the beginning of the class hour. Late assignments will not be

accepted.

* Pager and Cellular phone off. [1st -20, 2nd -50, 3rd -80]

Spring 2005 MGMT 136 Portfolio Management

COURSE SCHEDULE

1. Overview

A. Introduction, Web page PowerPoint Chapter 1

B. Security Markets, Web page PowerPoint Chapter 2

C. Statistical Concepts, Web page PowerPoint Chapter 3 And Statistics Review by Dr Ahmadi

2. Portfolio Management

A. Risk and Return of a Portfolio, Web page Portfolio Management Theory by Dr. Ahmadi

B.  Maximizing Return at a Given Risk, Web page PowerPoint Chapter 4

C.  Time Value of Money, Bond Valuation Web Page Time Value of Money by Dr. Sharp

D.  Introduction To Linear Algebra

EXAM 1

3. Portfolio Analysis Start of Excel Work

A. Properties of Minimum Variance Set,

B. Single-Index Model,

1st Half Final Project Due March 16th Instructions on Web page

4. Performance Measurement

A. Capital Asset Pricing Model,

EXAM 2

B. Portfolio Performances

5. Interest Rates

A. Interest Rate and Term Structure,

6. Issues in Investment

A. Taxes,

B. Market Efficiency: Concept,

C.  Market Efficiency: Evidence,

Exam 3 Final, during finals week, as scheduled, Wednesday May 18th, 3 to 5 pm

Final Project Due Last Day of Class Wednesday May 18, Instructions on Web page