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Attached please find the syllabus for the class. Since our class duration is only for 3 weeks, it is
very important that we are well prepared before the class begins. I will start teaching
immediately on the first day of class after explaining the syllabus.
I strongly recommend that you (or a classmate that you will sit next to in class) bring a laptop to
every class meeting. The laptop must have a Windows version of Microsoft Excel 2007, 2010 or
2013. I will lecture using my Class Notes. We will have in-class exercises using the laptops with
Excel programming and spreadsheets associated with these Class Notes.
Preparation checklists before our class begins are as follows:
____1. Go to my class website as shown on Page 2 of the syllabus.
____2. Right click" and "save as" class materials, which are grouped in folders and in zip file
formats, onto your laptop.
____3. Unzip these folders on your laptop so that you are ready for in-class exercise and Excel
programming. Please make sure that all folders are on your laptop: Class Notes Sets 0.5 through
5 and Homework Assignments 1 through 8.
____4. Go to each Class Notes folder and print all of the Class Notes. You will need Class
Notes in hardcopies for my lecture. Particularly, Class Notes Sets 0.5 and 1 are needed on the
first day of class.
____5. Bring Class Notes in hardcopies and the laptop that has the above folders to class.
____6. I also strongly encourage you to do the presetting of your laptop based on items in
Class Notes Set 0.5 before class. This presetting will ensure that your Excel will run smoothly
without glitches. I will go over presetting items with you in class. However, doing so before
class will help us save time and minimize confusion since I will have to guide all of you in class
at the same time.
Please send me an e-mail if you have any question, especially about presetting items. I will
respond as quickly as I possibly can.
I look forward to seeing all of you.
Chanwit Phengpis, Ph.D.
Professor of Finance
California State University, Long Beach
Syllabus
Security and Portfolio Analysis
Summer 2015
Instructor: Dr. Chanwit Phengpis
Email:
pchanwit@yahoo.com
Office Hours: before and after class and by appointment
F. Mini Project
Requirements for a mini project are as follows:
1. You may work alone or in a group of 3 persons at most.
2. You must come up with the topic of the mini project yourself.
3. The project must use real-world data. A spreadsheet that allows you to download real-world
data will be provided earlier in the semester.
4. The project must be type-written and submitted in hard copies. You will also need to present
this project in class towards the end of the semester.
5. The project must include (and will be evaluated based on) the following components:
1. What is the main issue you would like to investigate? In other words, what is your main
research question?
2. What is the data set used?
3. What are the models/equations employed?
4. What are the results? You may want to include tables to present your results.
5. How do your results address the main issue or answer your main research question?
G. Grading
Your average class score is based on your performance on homework assignments, a mini
project, a mid-term exam and a final exam and computed using the following weights:
Homework Assignments
10%
Mini Project
10%
Mid-term Exam
40%
Final Exam
40%
Then, your letter grade for the class will be assigned to your average class score as follows:
A
Average class score 90%
B
80% Average class score < 90%
C
70% Average class score < 80%
D
60% Average class score < 70%
F
Average class score < 60%
Tuesday, June 9
Wednesday, June 10
Thursday, June 18
Friday, June 19
Topic
Administrative Matters
Quantitative Analysis in Finance and Financial Modeling
Obtaining and Working with Real-World Data
Risk and Risk Aversion
Capital Allocation between the Risky Asset and the Risk-Free Asset
Optimal Risky Portfolios
Construction of Optimal Risky Portfolios with and without Short Selling
Capital Asset Pricing Model (CAPM)
Arbitrage Pricing Theory (APT)
Fama-French 3-Factor Model
Further Developments and Issues in Pricing Models
Lecture and Review for the mid-term exam
Mid-term exam and lecture to be continued
Market Efficiency and Implications on Portfolio Management
Samples of Technical Analysis
Security and Portfolio Performance Evaluation
Equity Style Analysis
Mini Projects Due, Presentations of Mini Projects and Review for the Final Exam
Final exam