INVESTMENT THEORY AND MANAGEMENT

MAN612

Course Code: MAN612
Semester: Second Term (Spring)
Theory+Practice: 3 + 0
ECTS: 10

Course Type

Compulsory Course

Course Level

Doctorate Of Science

Year of Study

Semester

Second Term (Spring)

ECTS

Name of Lecturer(s)

Professor Güray Küçükkocaoğlu

Learning Outcomes

At the end of this course, the students;

Learn modern theories of investment management and understand the advance knowledge behind investment strategies and portfolio management techniques.
Learn the implications of the efficient market hypotheses (EMH), and moves on the methodology and techniques for testing the EMH with empirical evidences for and against the EMH.
Learn the portfolio management techniquies (in particular, mean-variance analysis, portfolio selection, construction and optimization issues and asset pricing models of CAPM and APT along with the methodology and techniques for testing those asset pricing models)
Discuss the concepts of speculation, manipulation, arbitrage, market completeness.
Discuss the fundamental theorem of mathematical finance and turn these theories into an empirical work moreover learn to discuss their empirical.
Read portfolio management literature from 1900s to present.

Mode of Delivery

Face to face

Prerequisites

Recommended Optional Programme Components

None

Course Description

In the context of portfolio theory, the foundation and management of securities' portfolios, the analysis of these investments will be examined. In addition, risk measurement tools used in the financial context (VAR,CAR,EVMA,EVA etc.)will be discussed in terms of risk management techniques.

Course Contents

WEEK	TOPICS
1^st Week	Introduction (Chapter 1)The Investment Environment, The Investment Process, Testing for Market Efficiency
2^nd Week	Buying and Selling Securities (Chapter 2)Initial Public Offerings, Orders and Order Size, Time Limit Margin Accounts - Margin Purchases, Short Sales, Securities Lending, Aggregation
3^rd Week	Security Markets (Chapter 3)Call and Continues Markets, Clearing Procedures, Insurance
4^th Week	The Valuation of Riskless Securities (Chapter 5 and 14)Nominal versus Real Interest, Yield to Maturity,Spot Rates, Forward Rates, Compounding, Determination of Yield Spreads, Holding-Period Return
5^th Week	The Valuation of Common Stocks (Chapter 17)Capitalization of Income Method of Valuation, The Zero Growth Model, The Constant Growth Model, The Multiple Growth Model, Models Based on P-E Ratios, Earnings
6^th Week	Portfolio Selection - Construction - Optimization (Chapter 6 and 7)Valuation of Riskless Securities, Selection Problem ,Portfolio Analysis, Riskfree Borrowing and Lending, Efficient Frontier
7^th Week	The Capital Asset Pricing Model (Chapter 9)Capital Market Line, Security Market Line, Market Model
8^th Week	Midterm
9^th Week	Factor Models (Chapter 10) One and Multiple-Factor Model
10^th Week	Arbitrage Pricing Theory (Chapter 11)Factor Models, Pricing Effects
11^th Week	Arbitrage Pricing Theory (Chapter 11)Two-Factor Models
12^th Week	Portfolio Performance Evaluation (Chapter 24)Measures of Return, Making Relevant Comparisons
13^th Week	Portfolio Performance Evaluation (Chapter 24)Market Indices, Risk-Adjusted Measures of Performance
14^th Week	Portfolio Performance Evaluation (Chapter 24)Market Timing, Criticisms of Risk-Adjusted Performance Measures, Bond Portfolio Performance Evaluation
15^th Week	General Assessment

Programme Qualifications / Learning Outcomes

	LO1	LO2	LO3	LO4	LO5	LO6
K1
K2
K3
K4						X
K5	X	X	X	X	X
K6	X	X	X	X	X
K7	X	X	X	X	X
K8
K9						X
K10
K11