MBA 222

Security Analysis & Portfolio Management
Course Outline and General Information

 Office:  Phone:  Email: Tahoe - 2086  (View syllabus for current office hours) 278-6374 ahmadih@csus.edu

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

 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- 370-400 340-369 300-339 260-299 220-259 C+ C C- D or F 180-219 140-179 120-139 Below 120

* There are no make-up 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

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