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Note: This web page will be updated throughout the term!
Last Updated:
02/06/2008
Fin 6526: Portfolio Theory Syllabus – Mod 3, 2008
CONTENT: Although the formal title of this course is “Portfolio Theory”, it is better thought of as a course dealing with “Issues in Asset Allocation”. The only pre-requisite course is a basic course in financial management.
The major issue that we examine is how investors should determine the types and amounts of security classes to hold in their investment portfolios – what is known as the investor’s Strategic Asset Allocation.
Security classes that we examine include the usual productive asset classes found in both institutional and individual investor portfolios: domestic and non-domestic fixed income and equity holdings. The models examined include the traditional single-period Markowitz Model as well as multi-period simulation models.
A major objective in examining Strategic Asset Allocation is to understand both the short-run and the long-run potential investment outcomes associated with various asset allocations. For example: “Should long-term investors accept greater investment risk than short-term investors? If so, why?”
Additional topics include: Tactical Asset Allocation, investment manager Styling, and Performance Monitoring.
GRADES: Grades will be based on the following three criteria:
25% - Course Participation (class discussion, attendance, etc.)
25% - Final Exam (from problems and questions provided prior to exam)
50% - Course Paper (Asset Allocation analysis of a typical 401K portfolio)
COURSE MATERIALS: Noteshells, homework assignments and problems, solutions to homework, and other class materials will be found on this web site.
OFFICE HOURS: The instructor has office hours from 8am – 11 am on Wednesday and Friday. Undergraduate students will be assigned to the hours 9am – 11am, so Masters students should try to visit between 8am – 9am. If these times do not fit your schedule, we can make a special appointment for another time.
E-Mail Instructor: Radcliffe e-mail
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