Contents:
Neoclassical finance and economics concepts in portfolio management; asset managers and their role in the economy; major asset classes and their key characteristics; expected utility; mean-variance portfolio optimization, shortcomings and developments; factor theory; return predictability; risk management; portfolio performance evaluation; equity investment strategies; asset allocation and macro strategies.
Mode of delivery: Online teaching, presentations and discussions.
Evaluation (100 points)
Individual assessment (50 points):
Interaction activities, e.g., class diaries (10 points).
Home assignment (30 points), 4-5 pages.
Review other groups' presentations (10 points).
Group projects (50 points):
1. Presentation (25 points), 15-20 minutes.
2. Final report (25 points), 3-5 pages.
Note that there is no written exam. To be able to complete the course, students are required to play an active role in both writing the home assignment and final report and the presentations. If a student is unable to present live, s/he can send video recorded presentation.
Note on attendance:
The course does not require mandatory online participation. However, lectures are important part of the learning process and students are encouraged to actively participate. Students are fully responsible for catching up with the information that is passed through the lectures.
The grading system: for the students who complete the minimum requirement, is as follows:
Points Grade
86-100 5
73-85 4
61-72 3
51-60 2
40-50 1
0-39 Fail
Course material
The main readings include the lecture notes, recent research papers by topic, and other course materials. I will post material every week.
The companion books are the followings:
· Ang, Andrew. Asset management: A systematic approach to factor investing. Oxford University Press, 2014. (https://oula.finna.fi/Record/oula.1427424)
· Bodie, Zvi. Investments. McGraw-Hill, 2013. (https://oula.finna.fi/Record/oula.1238073)
· Pedersen, Lasse Heje. Efficiently inefficient: how smart money invests and market prices are determined. Princeton University Press, 2015. (https://oula.finna.fi/Record/oula.1550641)
Group project
The main tasks for each group are as follows:
· Group registration: Form groups up to 3-4 students and register to Investopedia’s trading simulator. If needed, I will have to randomly assign groups due to Covid restrictions on interaction.
· Official online meetings: Arrange at least 3 official (online ?) meetings with your group-mates to discuss the practicalities. Record the minutes of your meeting and include it in your term paper as an appendix.
· Presentation: Prepare a 15-20 minute presentation. Summarize your findings. Present the philosophy, process and the portfolio statement.
Final report based on Virtual trading: Implement your trading strategies in Investopedia’s simulator. Summarize the whole process of your trading. It should include: Introduction, detail definition of variables and trading strategies, implementation, performance evaluation, and conclusion. Discuss your trading experience. strategies and implementations, Sources, portfolio performance evaluation, lessons learned, and what could be done differently.
Deadline:
'Individual home assignment' and 'group final report' must be submitted before 10.12.2020.
Neoclassical finance and economics concepts in portfolio management; asset managers and their role in the economy; major asset classes and their key characteristics; expected utility; mean-variance portfolio optimization, shortcomings and developments; factor theory; return predictability; risk management; portfolio performance evaluation; equity investment strategies; asset allocation and macro strategies.
Mode of delivery: Online teaching, presentations and discussions.
Evaluation (100 points)
Individual assessment (50 points):
Interaction activities, e.g., class diaries (10 points).
Home assignment (30 points), 4-5 pages.
Review other groups' presentations (10 points).
Group projects (50 points):
1. Presentation (25 points), 15-20 minutes.
2. Final report (25 points), 3-5 pages.
Note that there is no written exam. To be able to complete the course, students are required to play an active role in both writing the home assignment and final report and the presentations. If a student is unable to present live, s/he can send video recorded presentation.
Note on attendance:
The course does not require mandatory online participation. However, lectures are important part of the learning process and students are encouraged to actively participate. Students are fully responsible for catching up with the information that is passed through the lectures.
The grading system: for the students who complete the minimum requirement, is as follows:
Points Grade
86-100 5
73-85 4
61-72 3
51-60 2
40-50 1
0-39 Fail
Course material
The main readings include the lecture notes, recent research papers by topic, and other course materials. I will post material every week.
The companion books are the followings:
· Ang, Andrew. Asset management: A systematic approach to factor investing. Oxford University Press, 2014. (https://oula.finna.fi/Record/oula.1427424)
· Bodie, Zvi. Investments. McGraw-Hill, 2013. (https://oula.finna.fi/Record/oula.1238073)
· Pedersen, Lasse Heje. Efficiently inefficient: how smart money invests and market prices are determined. Princeton University Press, 2015. (https://oula.finna.fi/Record/oula.1550641)
Group project
The main tasks for each group are as follows:
· Group registration: Form groups up to 3-4 students and register to Investopedia’s trading simulator. If needed, I will have to randomly assign groups due to Covid restrictions on interaction.
· Official online meetings: Arrange at least 3 official (online ?) meetings with your group-mates to discuss the practicalities. Record the minutes of your meeting and include it in your term paper as an appendix.
· Presentation: Prepare a 15-20 minute presentation. Summarize your findings. Present the philosophy, process and the portfolio statement.
Final report based on Virtual trading: Implement your trading strategies in Investopedia’s simulator. Summarize the whole process of your trading. It should include: Introduction, detail definition of variables and trading strategies, implementation, performance evaluation, and conclusion. Discuss your trading experience. strategies and implementations, Sources, portfolio performance evaluation, lessons learned, and what could be done differently.
Deadline:
'Individual home assignment' and 'group final report' must be submitted before 10.12.2020.
- Opettaja: Asif Ruman