CALIFORNIA
STATE UNIVERSITY, SACRAMENTO
College of Business Administration
Professor
Ahmadi

FIN 136
Modern Portfolio Theory
Course Outline and General
Information





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 in almost every
topic.



* Benninga,
Simon  Financial Modeling, 2nd Edition 2001
* Elton, Edwin and Martin Gruber, Stephen Brown, and
William Goetzmann 
Modern Portfolio Theory and
Investment Analysis, 6th Edition
* A handbook to help with intermediate application of
Microsoft Excel 2003
* Subscription to the Wall
Street Journal
and
www.FundsFormation.com



Your final grade will be
determined as follows: 

Exam 1
Exam 2
Exam 3
Homework & Assignments
Final Project 
70 Points
70 Points
70 Points
90 Points
100 Points 
Total Possible 
400 Points 


Points Achieved
convert to the following Letter Grade::
A
A
B+
B
B

370400
340369
300339
260299
220259

C+
C
C
D or F

180219
140179
120139
Below 120



PLEASE NOTE: * There are no makeup
exams.
* The assignments are due at the beginning of the class
hour.
* Late assignments will not be accepted
* ALL pager and cell phones must be OFF.
Rings/beeps incur penalties: 1st: 20, 2nd: 50, 3rd: 80
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I.
Overview 

A. Introduction
B. Security Markets
C. Statistical Concepts 

II.
Portfolio Management 

A. Risk and Return of a
Portfolio
B. Maximizing Return Given
Risk
EXAM 1 

III. Portfolio Analysis 

A. Properties of a Minimum
Variance Set
B. Single Index Model 

IV. Performance
Measurement 

A. Capital Asset Planning
Model
EXAM 2
B. Arbitrage Pricing Theory
C. Portfolio Performance 

V. Interest Rates 

A. Interest Rate and Term
Structure
B. Bond Portfolio
EXAM 3


VI. Issues in Investment 

A. Taxes
B. Concept of Market
Efficiency
C. Evidence of Market
Efficiency 
There
is an Optional Presentation scheduled for the last two class
meetings! 


REMINDER: ALL pager and cell phones must be OFF.
* Rings/beeps incur penalties: 1st: 20, 2nd: 50, 3rd: 80
Top

