WEERACHART T. KILENTHONG

SM513: Investment Theory

Academic Year 2017

First Semester

Time: Saturday 9.00 am – 12.00 pm

Location: Room: 5601

Instructor: Weerachart Kilenthong

Email: tee@riped.utcc.ac.th

Website:  riped.utcc.ac.th/tee/teaching/sm513

Teaching Assistance: Sartja Duangchaiyoosook  Email: kei@riped.utcc.ac.th

Office Hours: Wednesday 4 pm -6 pm or by appointment (via email) at the 7th floor of the 21st building.

 

Announcement

Downloadable Syllabus

Description:

This course studies basic concepts of financial modeling and principles of asset pricing. Key topics include mean-variance portfolio selection, risk measures, Capital Asset Pricing Model (CAPM), utility-based portfolio choices, tests of CAPM, and performance analysis. This course also introduces option pricing and basic stochastic calculus.

Required Textbooks:

1. Elton, Edwin J., Martin J. Gruber, Stephen J. Brown, & William N. Goetzmann. 2007. Modern Portfolio Theory and Investment Analysis. 7th ed: Hoboken, NJ: Wiley.

2. John C. Hull, Options, Futures, and Other Derivatives, 8th edition, 2012, Pearson.

Optional Textbooks:

1. Campbell, J.Y., Lo, A.W. and Mackinlay, The Econometrics of Financial Markets. A.C. Princeton, N.J.: Princeton University Press.

2. Cochrane, John. 2005. Asset Pricing. 2nd ed. Princeton, N.J.: Princeton University Press.

3. Duffie, Darrell. 2001. Dynamic Asset Pricing Theory. 3rd ed. Princeton, N.J.: Princeton University Press.

Data Sources

We will focus mostly on data from SET, which you can access through http://10.21.7.31:8080/homepage.html

Grading

Grades will be based on the following weights:

30%    Assignment(s)

30%    Mid-Term Exam

40%    Final Exam

Problem Assignments

1. Problem Assignment 1 (Due on September 2 at the beginning of the class),  

     data for Problem Assignment_1

2. Problem Assignment 2 (Due on September 16 at the beginning of the class)

3. Problem Assignment 3 (Due on September 23 at the beginning of the class)

4. Problem Assignment 4 (Due on September 30 at the beginning of the class)

    data for Problem Assignment_1

5. Problem Assignment 5 (Due on October 7 at the beginning of the class)

6. Problem Assignment 6 (Due on October 21 at the beginning of the class)

7. Problem Assignment 7 (Due on October 28 at the beginning of the class)

    data for Problem Assignment 7

8. Problem Assignment 8 (Due on November 4 at the beginning of the class)

    data for Problem Assignment 8

9. Problem Assignment 9 (Due on November 10 at the beginning of the class)

    data for Problem Assignment 9

10. Problem Assignment 10 (Due on November 18 at the beginning of the class)

11. Problem Assignment 11 (Due on November 25 at the beginning of the class)

12. Problem Assignment 12 (Due on December 2 at the beginning of the class)

13. Problem Assignment 13 (Due on December 9 at the beginning of the class)

    data for Problem Assignment

 

Tentative Lecture Schedule:

Week

Topics

Reading Materials

1

–      Basic Statistics 

Lecture Note

2

–      Preferences and Opportunity Set 

–      Portfolio Choices under Different Preferences

Elton et al. (2007), Ch. 12 and Lecture Note

3

–      Return Calculation and Mean Variance Portfolios

Elton et al. (2007), Ch. 3-5 and Lecture Note

4

–     Sample Calculation of the Efficient Frontier

Elton et al. (2007),  Ch. 6 and Lecture Note

5

–    The Single-Index.

Elton et al. (2007), Ch. 7

6

–    The Capital Asset Pricing Model (CAPM)

Elton et al. (2007), Ch. 13-15

 

Midterm Exam

covering up to the 6th session

             7

–     The Multi-Index Model and  The Arbitrage Pricing Theory (APT)

Elton et al. (2007), Ch. 8, Ch. 16 and Lecture Note

8

–      Equity Valuation: Concept and Basic Tools 

Elton et al. (2007), Ch. 19 and Lecture Note

9

–      Evaluation of portfolio Performance

Elton et al. (2007), Ch. 25 and Lecture Note

10

–      Efficient Market and Return Predictability

Elton et al. (2007), Ch. 17 and Lecture Note

11

–      Basic Asset Pricing and Risk Premium Puzzle

Lecture Note

12

–      Wiener Processes and Ito’s Lemma

Hull, Ch. 12-13

13

–      The Black-Scholes-Merton Model

Hull Ch. 14

14

–       Event Study

Lecture Note

15

–       Review

 

Final Exam

covering from the 7th session to the 16th session