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)

 

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

–       Advanced Topic

15

–       Review

 

Final Exam

covering from the 7th session to the 16th session