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Institute of Business l
Administration a
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Course Code
Faculty Name
Course
ERP Class NBR   2067,2068,2069,2070
Information
 Programs  BAS
and Title
Class Details  Class Timings and
 6:30-9pm/C5 city campus
Room
MON TUE WED THU FRI SAT SUN
 Session Day(s)
×N ×N N ×N N ×N N N N
 Credit Hours  3
 Email [email protected] , [email protected]
 Contact No.  +92 21 38104700 Ext: 2326
Course This course starts with calculation of returns at various horizons and the distinction
Description between risk and risk free investment. Then we discuss the key assumptions under
which an investor allocates his/her funds among risk free and risky assets to optimize
the expected utility. After this an integral part of course starts with an enunciation of
the idea of diversification and how it is linked with that portfolio management. We will
cover the portfolio mathematics, capital asset pricing model (CAPM) and arbitrage
pricing theory (APT) etc. We will also discuss then the strategies like size, value,
liquidity and momentum and then based upon them the excess returns using the zero-
investment strategies. Lastly, we will cover the concept of market efficiency and in
presence of aforementioned strategies the challenges it faces.
Learning
[Define Program Learning Goals.]
Goals
Learning The comprehensive understanding of the portfolio management by learning the basic
Outcomes and key ingredients. Such that, returns and various horizons, risky and risk free
investment, investors choice to capital allocation under key assumption of risk
aversion, the correlation structure of the returns, their theoretical significance and then
the practical implication of this concept. The modeling aspects of the returns under
equilibrium and arbitrage conditions. Lastly, the challenges that various types of
strategies pose to the concept of market efficiency.
 Course Learning Outcomes mapped to Program Learning Outcomes

Knowledge of
Communication Critical
Core Business Ethics Glocal Mindset
Learning Skills
Areas
Skills
Goals
Learning
Outcomes
1 X X X X
2 X X X

Teaching and
Theoretical and practical discussion of the reading materialand assignments
Learning
Methodology (both theoretical and Practical using excel)

Textbooks Recommended Text(s)

and Reading
Materials; Investments by Bodie, Kane and Marcus, Ninth edition Chapters 5-9 and 11.
Important
Dates Secondary Text(s)

Financial Modeling by Simon Benninga, third edition Chapters 8-15.

https://www.youtube.com/watch?v=tL7Lcl90Sc0
https://www.youtube.com/watch?v=J7d3vcaS9-o
https://www.youtube.com/watch?v=z2oQe6B1Qa4
https://www.youtube.com/watch?v=N8gtnbJuMoo
https://www.coursera.org/specializations/excel-vba-creative-problem-solving

Last link is related with Coursera open course on VBA. This will help to do things
practically, therefore I encourage students to do this course at their own.
Dates

Exam Type Date Start Time End Time

Notes

[Insert Here]

Prerequisite Pre- Requisite:

Courses,
Skills and A student must have taken all core courses of finance.
Knowledge

Assignments:  Week  Topic Required Reading 

 1  Factor influencing the level of interest  Investments by Bodie,
 Week  Topic Required Reading 
rates.
Fisher effect for interest rates and inflation. Kane and Marcus, Ninth
Holding period returns. edition Chapters 5

 Historical returns, standard deviations,  Investments by Bodie,

 2 skewness, kurtosis and Sharpe ratios. Kane and Marcus, Ninth
edition Chapters 5
Long term investment Vs Short term  Investments by Bodie,
 3 investment. Kane and Marcus, Ninth
edition Chapters 5
 Investments by Bodie,
 4 Construction of investor’s portfolio. Kane and Marcus, Ninth
edition Chapters 6
 Investments by Bodie,

 5 Risk aversion and utility functions. Kane and Marcus, Ninth

edition Chapters 6

  Investments by Bodie,
Allocations between risky and risk free
Kane and Marcus, Ninth
 6 asset.
edition Chapters 6

 Investments by Bodie,
Combination of risky assets and the
Kane and Marcus, Ninth
 7 calculation of its returns and risk.
edition Chapters 7

Reduction if risk by combining various  Investments by Bodie,

 8 risky assets. Kane and Marcus, Ninth
edition Chapters 7
 The concept and interpretation of
covariance and correlations among  Investments by Bodie,
 9 different assets. Kane and Marcus, Ninth
The concept of systematic and edition Chapters 7
unsystematic risk.

 The explanation of stock returns through  Investments by Bodie,

 10 firm’s specific and market-based risk. Kane and Marcus, Ninth
edition Chapters 8
 The decomposition of the risk into
systematic and unsystematic components.  Investments by Bodie,
 11 The reduction in number of variables Kane and Marcus, Ninth
required to be estimated to gauge risk edition Chapters 8
through index modeling.

 The pricing of asset under equilibrium

market conditions.  Investments by Bodie,
 12 The limitation of the assumptions Kane and Marcus, Ninth
undertaken to drive equilibrium model. edition Chapters 9

 13 The testable form of the model.  Investments by Bodie,

  Week  Topic Required Reading 
The model related variable alpha and beta Kane and Marcus, Ninth
and their interpretations edition Chapters 9
The random walk hypothesis and market
efficient.
Investments by Bodie,
To understand the implication for the
14 Kane and Marcus, Ninth
securities prices under the various forms of
edition Chapters 11
market efficiency.

To understand the statement securities are

fairly price.
Investments by Bodie,
Some anomalous returns that are prevalent
15 Kane and Marcus, Ninth
in all markets.
edition Chapters 11
The risk adjusted returns versus average
returns.
Required [List all required texts for the class, including ISBN, author, publisher, and edition.]
Text(s):
Electronic [List all electronic resources and web sites for course.]
Resources:
Calendar: [List important dates for course such as: holidays, drop dates, mid-term and final
exams.]

Student [List the topics and objectives to be covered in the course]

Outcomes:

Weighting of
Assignments: Required
  Weight Due Date Point Value
Assignment

Category Weight
Required
 Weightage
Assignment

Grading
Scale: Points Grade
92.5 A
86.5 A-
81.5 B+
76.5 B
71.5 B-
67.5 C+
 Points Grade
63.5 C
59.5 C-
0 F

Policy - The maximum of 5 absents are allowed as per policy, beyond that students are not
Attendance: allowed to sit in examination.
Policy - The assignments need to be submitted as per the instruction in the class or will be
Assignments: announced on LMS.
Policy - Cell
phones and
pagers: Strictly prohibited
Policy -
Academic Strongly required at every stage.
Honesty:
Policy - Since most of the assignments will be numerical therefore it should be done both
Written Work:
handwritten and on excel.
Policy - Late Not allowed
Assignments:
Policy - 10% marks are allocated for class participation therefore it is strongly recommended.
Participation:
Policy - [Insert Here]
Students with
Disabilities: