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UNIVERSITY OF DHAKA
MPF PROGRAM: JANUARY-JUNE, 2018 SEMESTER
PF-632: PORTFOLIO MANAGEMENT
Instructor : Dr. H. M. Mosarof Hossain, Professor
Department of Finance, University of Dhaka
Class Schedule : 7:00 P. M. to 9:30 P. M. (Friday)
Class Room : 410 (Academic Bhaban)
Contact No. : 9661900-73, Ext. 8044; E-mail: mosaroffb@yahoo.com and
mosarof@du.ac.bd
Basic Information about the Course:
Credit Hours : 03
Contact Hours: 50
Course Description:
Name of Chapters Topics to be covered
01.The Investment Definition of investment; Measures of return and risk; Determinants
Setting of required rates of return; Relationship between risk and return.
02.Efficient Capital Definition, Assumptions, Alternative efficient market hypothesis,
Market Factors influencing prediction of return, Types of market efficiency.
03.Markets and The money market; The bond market; Equity securities; Stock Market
Institutions index; Derivative markets.
04. How Securities are How firms issue securities; Where securities are traded; Trading on
Traded exchanges; Trading on the OTC market; Trading cost; Buying on
margin; Short sale; Regulation of securities markets.
05. Risk and Risk Risk and risk aversion- risk with simple prospects, risk, speculation
Aversion and gambling, risk aversion with utility values; Portfolio risk- asset
risk vs portfolio risk, a review of portfolio mathematics.
06. Capital Allocation Capital allocation across risky and risk-free portfolios; The risk-free
Between a Risky and a asset; Portfolio of one risky and one risk-free asset; Risk tolerance and
Risk -free Asset asset allocation.
07. Optimal Risky Diversification and portfolio risk; Portfolios of two risky assets; The
Portfolios Markowitz portfolio selection model;
08. The Capital Asset Demand for stocks and equilibrium prices; The capital asset pricing
Pricing Model model; Security market line; Capital market line and Characteristics
line.
09. Multifactor Models of Arbitrage pricing theory; Multifactor models and risk estimation; The
Risk and return APT, CAPM and the index model; Multifactor APT; The Fama-
French three factor model.
10. Equity Valuation Models for valuing common stocks, preferred stocks and
Model bonds/debentures.
11. Analysis of Financial Major financial statements; Analysis of financial ratios; Computation
Statements of financial ratios; Evaluating internal liquidity; Evaluating operating
performance; Risk analysis; Analysis of growth potential; External
market liquidity; Comparative analysis of ratios.
12 Stock Market Analysis Assessing the economy and the stock market- the business cycle,
Forecasts of the economy; Understanding the stock market;
Determinants of stock prices; Valuing the market- the earnings stream,
the multiplier.
13. The Analysis and The fundamentals of bond valuation: present value model, the yield
Valuation of Bonds model nominal yield, current yield, promised yield to maturity,
promised yield to call, realized yield; Calculating future bond prices;
Realized yield with differential reinvestment rates; Price and yield
determination on noninterest dates; Yield adjustments for tax-exempt
bonds; Bond yield books; Bond valuation using spot rates; What
determines interest rates; Calculating forward rates from the spot rate
curve; Term structure theories- expectations hypothesis, liquidity
preference hypothesis, segmented market hypothesis; Yield spreads;
What determines the price volatility for bonds?
14.Evaluation of Portfolio What is required of a portfolio manager? Composite portfolio
Performance performance measures; Evaluation of portfolio performance;
Reporting investment performance; M2 measure.
Text: Investment Analysis and Portfolio Management - Frank K. Reilly & Keith C. Brown (10th Edition)
References: Investmens – Zvi Bodie Alex Kane & Alan J. Marcus (10th Edition)
Modern Portfolio Theory and Investment Analysis- Edwin J. Elton & Martin J Gruber (8th Edition)