PORTFOLIO MANAGEMENT
FIN5PMT
2017
Credit points: 15
Subject outline
This unit seeks to provide a structured approach to portfolio management. This approach includes researching ideas, forecasting exceptional returns, constructing and implementing portfolios and observing and refining their performance. The approach draws on theories of asset pricing such as the Capital Asset Pricing Model, as well as a range of statistical tools for its structure and intuition. Particular attention is given to managing portfolio risk and portfolio performance evaluation and attribution.
School: La Trobe Business School
Credit points: 15
Subject Co-ordinator: Jing Zhao
Available to Study Abroad Students: Yes
Subject year level: Year Level 5 - Masters
Exchange Students: Yes
Subject particulars
Subject rules
Prerequisites: N/A
Co-requisites: N/A
Incompatible subjects: N/A
Equivalent subjects: N/A
Special conditions: N/A
Learning resources
Readings
| Resource Type | Title | Resource Requirement | Author and Year | Publisher |
|---|---|---|---|---|
| Readings | Managing investment portfolios: a dynamic process (3rd ed.) | Prescribed | Maginn, J., Tuttle, D., McLeavey, D., and J. Pinto | JOHN WILEY & SONS: NEW JERSEY, 2007 |
Graduate capabilities & intended learning outcomes
01. Analyse the relative merits of passive versus active portfolio management
- Activities:
- Lectures, portfolio simulation project
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
02. Develop an understanding of the financial and mathematical theory on which the practice of passive and active portfolio management is founded;
- Activities:
- Lectures, tutorials, midterm and final exams
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
03. Develop the analytical thinking required to apply financial theory and skills to solving actual portfolio management problems on the one hand and to analyse empirical and theoretical problem in a scholarly manner on the other.
- Activities:
- Lectures, portfolio simulation project, midterm and final exams
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Personal and Professional Skills(Teamwork including leadership and working in groups,Ethical behaviour)
- Personal and Professional Skills(Teamwork including leadership and working in groups,Ethical behaviour)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
04. Develop the practical skills required to construct, manage and analyse the performance of a portfolio of financial assets, subject to the objectives of the owner;
- Activities:
- Lectures, tutorials, portfolio simulation project
- Related graduate capabilities and elements:
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Literacies and Communication Skills(Writing,Speaking,Quantitative Literacy)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Inquiry and Analytical Skills(Critical Thinking,Creative Problem-solving,Inquiry/Research)
- Personal and Professional Skills(Teamwork including leadership and working in groups,Ethical behaviour)
- Discipline -Specific Knowledge and Skills(Discipline-Specific Knowledge and Skills)
Melbourne, 2017, Semester 1, Day
Overview
Online enrolment: Yes
Maximum enrolment size: N/A
Enrolment information:
Subject Instance Co-ordinator: Xiangkang Yin
Class requirements
LectureWeek: 10 - 22
One 2.0 hours lecture per week on weekdays during the day from week 10 to week 22 and delivered via face-to-face.
TutorialWeek: 11 - 22
One 1.0 hours tutorial per week on weekdays during the day from week 11 to week 22 and delivered via face-to-face.
Assessments
| Assessment element | Comments | % | ILO* |
|---|---|---|---|
| one 3-hour final examination | Multiple choice and short answer questions. This assessment will report of the Graduate Capabilities of Writing and Discipline specific knowledge | 60 | 01, 02, 03, 04 |
| one 60-minute mid semester test | Multiple choice questions. This assessment will report of the Graduate Capabilities of Critical thinking and Creative problem solving. | 20 | 01, 02, 03, 04 |
| portfolio simulation project (group assignment) (1500 words equivalent) | There are two components in this assessment. The first component (trading performance, i.e., profit/loss) contributes 40% to the mark of the group assignment. Each group also needs to submit a 1000-word (per student) performance report as the 2nd component of the assessment. This contributes 60% to the mark of the group assignment. This assessment will report on the Graduate Capabilities of Speaking, Quant | 20 | 01, 02, 03, 04 |
Melbourne, 2017, Semester 2, Day
Overview
Online enrolment: Yes
Maximum enrolment size: N/A
Enrolment information:
Subject Instance Co-ordinator: Jing Zhao
Class requirements
LectureWeek: 31 - 43
One 2.0 hours lecture per week on weekdays during the day from week 31 to week 43 and delivered via face-to-face.
TutorialWeek: 32 - 43
One 1.0 hours tutorial per week on weekdays during the day from week 32 to week 43 and delivered via face-to-face.
Assessments
| Assessment element | Comments | % | ILO* |
|---|---|---|---|
| one 3-hour final examination | Multiple choice and short answer questions. This assessment will report of the Graduate Capabilities of Writing and Discipline specific knowledge | 60 | 01, 02, 03, 04 |
| one 60-minute mid semester test | Multiple choice questions. This assessment will report of the Graduate Capabilities of Critical thinking and Creative problem solving. | 20 | 01, 02, 03, 04 |
| portfolio simulation project (group assignment) (1500 words equivalent) | There are two components in this assessment. The first component (trading performance, i.e., profit/loss) contributes 40% to the mark of the group assignment. Each group also needs to submit a 1000-word (per student) performance report as the 2nd component of the assessment. This contributes 60% to the mark of the group assignment. This assessment will report on the Graduate Capabilities of Speaking, Quant | 20 | 01, 02, 03, 04 |