Investment Management

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24/02/2013

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25721

INVESTMENT MANAGEMENT
Lecturers: Sean Anthonisz Nadima El-Hassan Jianxin Wang Brandon Zhu

Subject Coordinator: Jianxin Wang

Objectives
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   

Why do you take this subject? What do you expect to learn? How much did you pay for this subject? Is this a good investment?

Investment Decisions
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 

How much should I invest in risky assets? How much should I invest in different risky assets?  

How many risky assets should I hold? When not to diversify?



How to determine mispricing?
Fair value today? Expected return next year?  How well do asset pricing models work?  

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Investment Decisions
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Passive versus active investing
 

Is market efficient? Why not? What does it take to beat the market? How to hedge and how much to hedge? Derivative pricing Trading cost, liquidity, private information



How should I manage risk?
 



How should I trade?




Sources of my performance?

What Do We Learn in This Subject?
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A theoretical framework for portfolio construction. A theoretical framework for the pricing of equities and bonds. Some practical applications of asset pricing models and portfolio analysis. Issues relating to market efficiency and investor behaviour.

Course Structure
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Funds Management

Information

Portfolio Theory

Risk and Return

Markets and Investing

CAPM

Factor Models & APT

Options

Fixed Income

Equities

Futures

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Investment Electives
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     

25705 Financial Modelling and Forecasting 25728 Bond Portfolio Management 25729 Applied Portfolio Management 24731 International Finance 25762 Synthetic Financial Products A whole range of subjects for Quant Fin majors: technical analysis, numerical analysis, fin econometrics, stat methods, derivative pricing, interest rate modelling.

Prerequisite
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 

25742 Financial Management Basic math and statistics
Basic calculus and optimization Probability and distributions  Mean, variance, standard deviation, covariance  Linear regression by ordinary least square (OLS)  



Read the online Quantitative Review


A very brief review next week

What Is Expected – in class
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Lectures are primarily aimed at
Identifying and explaining key concepts and issues Highlighting the links to practice  Completing selected problems from text  



Questions are encouraged and rewarded.


Discussion is better than lecture Mutual respect and encouragement; Potential problems: repeated late arrivals, chatting during lecture, academic honesty



Code of behavior
 

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What Is Expected – outside class
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Address some details within the course reading materials.


Group study is more effective





Workload is about 7-8 hours per week on average (albeit uneven), including course readings, practices, and assignments. Multiple learning channels: 



Multiple levels of learning:


Web-based learning support

Lecture material, textbook, and Excel sheets

Approach to Learning
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 



Read relevant chapters prior to lectures Attempt to identify and understand the key messages: Concepts? Issues? Connections? Ask questions during lecture. 

You paid $$$ for the opportunity





Think & reflect; don’t just summarize & memorize. Practice using back-of-chapter questions.

Approach to Learning

不闻不若闻之 闻之不若见之 见之不若知之 知之不若行之 ---《荀子修身》

I listen and I forget; I see and I remember; I do and I understand. ---Xun Zi Just Do It! ---Nike

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Textbook and Readings
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Bodie, Kane, Marcus, Investments, 9th Ed, McGraw-Hill/Irwin, 2011. 

You take full responsibility if using an earlier edition.





 

Harvard Business School case study 9202-024 “Strategic Capital Management”. R. A. Haugen, Modern Investment Theory, 5th Ed, Pearson...
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