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LECTURE OUTLINE – DRAFT 2 [pp. 3-4 are new]
NB MIDTERM EXAM SUNDAY, OCTOBER 20, 2013

CONCLUDE LECTURE 4

THE SHARPE SINGLE INDEX MODEL

SHARPE MODEL’S APPLICATION TO PORTFOLIO MANAGEMENT

THE MODEL’S ASSUMPTIONS [ARE THEY REALISTIC?]
ESTIMATING THE MODEL PARAMETERS
RELIABILITY OF THE ESTIMATES
IMPROVING THE MODEL
SHARPE VERSUS NAÏVE DIVERSIFICATION [BODIE Appendix 6A +]
REFERENCE: BODIE 6th ed., CHAPTER 9, SECTIONS 9.1-9.5
AN APPLICATION OF THE SHARPE SINGLE INDEX MODEL A Disciplined Stock Selection Strategy
REQUIRED READING 1 FARRELL Chapter 6, or

"A Disciplined Stock Selection Strategy", Interfaces, October 1982, pp. 3-12*.

OBJECTIVES; METHODOLOGY; FINDINGS; APPLICATIONS

[available in Course Reserves, Webster Library]

ASSIGNMENT 1

http://www.globefund.com/ http://www.globefund.com/review/

Case Discussion: Ontario Teachers’ Pension Plan Board: Asset Allocation Decision, Ivey Publishing # 9A97N003

What/Who is the OTPPB? Who are the principal players? What problems did they face?

What solution would you recommend?

The advantages and disadvantages of including

equities in the OTPPB Portfolio. international securities in the OTPPB Portfolio [later].

The long-term asset allocation recommended for OTPPB.

The short-term asset allocation recommended for OTPPB.

http://www.otpp.com/website/teachers/website.nsf/public/homepage

HOME PAGE http://www.otpp.com/

NEXT LECTURE [TO BE CONFIRMED]

BOND PORTFOLIO MANAGEMENT

- Duration and convexity
Immunization and contingent immunization

REFERENCES

BODIE [6TH /7TH ED] See First Class

WEBSITES/ARTICLES

PIMCO http://www.pimco.com/TopNav/Home/Default.htm

http://www.pimco.com/LeftNav/BondResources/Default.htm

Leibowitz, M.L. and A. Weinberger, "Contingent Immunization, Part I: Risk Control Procedures, Financial Analysts Journal, Nov.-Dec. 1982, pp. 17‑31

NB: YOU SHOULD BE ABLE TO SUMMARIZE


References: Leibowitz, M.L. and A. Weinberger, "Contingent Immunization, Part I: Risk Control Procedures, Financial Analysts Journal, Nov.-Dec. 1982, pp. 17‑31 NB: YOU SHOULD BE ABLE TO SUMMARIZE ARTICLES’ OBJECTIVES, METHODOLOGY, FINDINGS AND APPLICATIONS Key Investment Facts Download Investment Summary — as at Dec 31, 2012 http://www.otpp.com/documents/10179/686422/Investment+Summary+2012/d2b54009-f5ab-4ccf-8288-b0a25ddc6157
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