Postgraduate Course: Investment Theory (CMSE11149)
Course Outline
| School | Business School |
College | College of Humanities and Social Science |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Availability | Not available to visiting students |
| SCQF Credits | 15 |
ECTS Credits | 7.5 |
| Summary | The main objective of the course is to teach students the topics that will help them make intelligent investment decisions in the future. The course also aims to give students a hands-on experience in constructing and managing their own portfolios.
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| Course description |
The course is made up of 3 main parts. The first part (Lectures 1 and 2) introduces the basics of investment decisions and equips students with mathematical tools and concepts that are indispensable when making investment decisions. The second part (Lectures 3 to 8) deals with the modern portfolio theory.
The third part (Lectures 9 and 10) focuses on portfolio evaluation and management.
Syllabus
Investing in financial securities
Risk and return of a portfolio of assets
The efficient set of portfolios
The single index model
The capital asset pricing model (CAPM)
Multi-index models
The arbitrage pricing model (APT)
Portfolio evaluation
Passive versus active portfolio management
Student Learning Experience
Lectures will cover the course material. Students will be provided with exercises after each lecture. These exercises will be solved during tutorials. Moreover, students will work in groups on a coursework assignment, which is an application of the modern portfolio theory and the CAPM.
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | For Business School PG students only, or by special permission of the School. Please contact the course secretary. |
Course Delivery Information
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| Academic year 2017/18, Available to all students (SV1)
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Quota: None |
| Course Start |
Semester 1 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
150
(
Lecture Hours 20,
Seminar/Tutorial Hours 8,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 3,
Directed Learning and Independent Learning Hours
117 )
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| Assessment (Further Info) |
Written Exam
70 %,
Coursework
30 %,
Practical Exam
0 %
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| Additional Information (Assessment) |
There is a group assignment which counts for 30% of the total marks and a final two hour examination which counts for 70% of the total marks. |
| Feedback |
Students will get written answers to student questions posted on Learn, verbal answers to student questions asked in lectures, written comments on group assignment and general feedback on the exam performance.
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| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
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| Main Exam Diet S1 (December) | Investment Theory | 2:00 | |
Learning Outcomes
On completion of this course, the student will be able to:
- Understand and critically evaluate the ideas from modern portfolio theory and employ asset pricing models when making investment decisions.
- Understand and critically discuss: the choice between consumption and investment; return calculations and risk preferences; risk and return of a portfolio of securities.
- Apply advanced techniques of: mean-variance portfolio theory; Capital Asset Pricing Model; Arbitrage Pricing Theory; Portfolio performance measurement; Passive and active portfolio management.
- Critically evaluate the performance of portfolios using the measures taught in the course.
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Reading List
Elton, Gruber, Brown, and Goetzmann (2014) Modern Portfolio Theory and Investment Analysis, 9th Edition, Wiley.
Comments
The following textbook is recommended for further reading:
Bodie, Kane and Marcus (2009) Investments, 8th Edition, McGraw-Hill. |
Additional Information
| Graduate Attributes and Skills |
Cognitive Skills:
On completion of the course students should have demonstrated that they are able to:
* Think in an analytical way
* Reason in an abstract way
Key Skills:
On completion of the course students should be able to:
* Use the ideas from modern portfolio theory and employ asset pricing models when making investment decisions.
* Evaluate the performance of their portfolios using the measures taught in the course.
Subject Specific Skills:
Students will become able to:
* estimate historical risk and return of securities
* form efficient portfolios and derive the efficient frontier
* estimate betas of securities
* employ equilibrium models to calculate required returns
* evaluate portfolio performance
* understand concepts of portfolio management |
| Additional Class Delivery Information |
10 lectures |
| Keywords | finInvestmentTheory |
Contacts
| Course organiser | Dr Ufuk Gucbilmez
Tel: (0131 6)50 3016
Email: |
Course secretary | Miss Rachel Allan
Tel: (0131 6)51 3757
Email: |
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