Lecturers: Sean Anthonisz Nadima El-Hassan Jianxin Wang Brandon Zhu
Subject Coordinator: Jianxin Wang
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?
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?
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?
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.
Risk and Return
Markets and Investing
Factor Models & APT
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.
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
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
What Is Expected – outside class
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
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
Textbook and Readings
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...