SM513: Investment Theory
Academic Year 2017
First Semester
Time: Saturday 9.00 am – 12.00 pm
Location: Room: 5601
Instructor: Weerachart Kilenthong
Email: [email protected]
Website: riped.utcc.ac.th/tee/teaching/sm513
Teaching Assistance: Sartja Duangchaiyoosook Email: [email protected]
Office Hours: Wednesday 4 pm 6 pm or by appointment (via email) at the 7^{th} floor of the 21^{st} building.
Announcement
Downloadable Syllabus
Description:
This course studies basic concepts of financial modeling and principles of asset pricing. Key topics include meanvariance portfolio selection, risk measures, Capital Asset Pricing Model (CAPM), utilitybased 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, 8^{th} 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% MidTerm Exam
40% Final Exam
Problem Assignments
1. Problem Assignment 1 (Due on September 2 at the beginning of the class),
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)
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)
8. Problem Assignment 8 (Due on November 4 at the beginning of the class)
9. Problem Assignment 9 (Due on November 10 at the beginning of the class)
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)
Tentative Lecture Schedule:
Week 
Topics 
Reading Materials 
1 
Lecture Note 

2 
Elton et al. (2007), Ch. 12 and Lecture Note 

3 
Elton et al. (2007), Ch. 35 and Lecture Note 

4 
Elton et al. (2007), Ch. 6 and Lecture Note 

5 
Elton et al. (2007), Ch. 7 

6 
Elton et al. (2007), Ch. 1315 


Midterm Exam 
covering up to the 6^{th} session 
7 
– The MultiIndex Model and The Arbitrage Pricing Theory (APT) 
Elton et al. (2007), Ch. 8, Ch. 16 and Lecture Note 
8 
Elton et al. (2007), Ch. 19 and Lecture Note 

9 
Elton et al. (2007), Ch. 25 and Lecture Note 

10 
Elton et al. (2007), Ch. 17 and Lecture Note 

11 
Lecture Note 

12 
Hull, Ch. 1213 

13 
Hull Ch. 14 

14 
Lecture Note 

15 
– Review 
– 

Final Exam 
covering from the 7^{th} session to the 16^{th} session 