SEMESTER: FALL 1999



SEMESTER: FALL 2001

COURSE NUMBER: FINA 223 – section 12

COURSE TITLE: INVESTMENT ANALYSIS AND PORTFOLIO MANAGEMENT

COURSE DESCRIPTION: Theory and principles of security analysis and portfolio management. Working knowledge of the financial instruments available to investors and ways in which markets for these instruments operate. Portfolio selection, calculation of efficient sets, mean-variance model, asset pricing models and portfolio performance evaluation. There will also be some introduction to Dynamic Asset Allocation models, Behavioral Finance ideas and Value at Risk techniques for portfolio management. (Credits: 3.0)

PREREQUISITES: FINA 220 or equivalent

PROFESSOR:

Isabelle G. Bajeux-Besnainou, Ph.D.

Telephone: (202) 994 - 2559

Fax: (202) 994 - 5014

Email : bajeux@gwu.edu

Office Hours: Mondays and Wednesdays 10AM – 12PM or by appointment

Office: Room 2, 2101 F St. NW

Class Hours: Wednesday, 12:30 PM – 3:15 PM

Class Room: Bell 108

TEXTBOOKS:

Required: Investments, Bodie, Kane and Marcus, IRWIN, fifth edition, 2001.

Recommended: Peter L. Bernstein (B), Capital Ideas: The Improbable Origins of Modern Wall Street, The Free Press, 1993.

Assignments: Students are expected to bring to class and be able to use a hand-held calculator with a present value function. Further, students are expected to be able to use elementary tools of linear algebra and statistics, as well as a spreadsheet, preferably excel.

CLASS QUIZZES:

Short quizzes (about 30 minutes) will be assigned at the beginning of sessions 4, 6, 8, and 14. They will be no make-up tests. If for any reason, you cannot take one of the tests, you will be assigned a grade of 0. The 3 best grades will be averaged.

MID-TERM EXAM:

Session will be entirely devoted to a mid-term exam.

GRADING: Class Quizzes: 35%, Mid-term Exam: 25%, First paper: 20%, Second paper: 20%

Teaching Assistant:

Szu-Yin (Kathy) Hung

Tel: (202) 994-6988

Email: khung@gwu.edu

Office Hours: Tuesdays 12 PM – 2 PM

Office: Lisner Hall 440-A (2023 G Street, NW)

PROMETHEUS:

All students need to register with Prometheus to get timely information about various course events during the semester. To do so, go to the web site and create a new student account (unless you already have one). You will have to enter your name, email, a username and a password for creating this new account. Once you have created your account, you access the web-site of this course using:

Course ID : 2269

Password : FINA223

Please note that you should create this account ASAP otherwise you might miss some important announcements which will be listed on our course web-site.

CLASS SCHEDULE

|Week |Date |Topic |Chapter |Quizzes and Exam |

| | |Security Analysis | | |

|1 |8/29 |Introduction - |1 | |

| | |Investment Environment | | |

|2 |9/5 |Markets and Instruments |2, 3, 4 | |

| | |How Securities are Traded | | |

| | |Class visit to the trading lab | | |

| |9/10 |Start trades | | |

| |9/12 |Memo Due First Research Paper | | |

| | |Portfolio Theory | | |

|3 |9/12 |Risk and Risk Aversion |6 | |

| | |Mean-Variance Model | | |

|4 |9/19 |Capital Allocation between |7, 8 |Quiz 1 |

| | |Risky and Risk-free Assets | | |

|5 |9/26 |Separation Property – The CAPM |8, 9 | |

|6 |10/3 |Portfolio Performance Evaluation |24 |Quiz 2 |

|7 |10/10 |Factor models and APT |10, 11 | |

|8 |10/17 |Dynamic Asset Allocation |Handout |Quiz 3 |

|9 |10/24 |Introduction on Behavioral Finance |Handout | |

| | |Guest Speaker: | | |

| | |“Behavioral diversification” | | |

|10 |10/31 |MID-TERM EXAM | |Mid-Term |

| |11/09 |End trades on 11/09 | | |

| | |First Paper Due 11/14 | | |

|11 |11/7 |Bond Prices, Yields and Fixed-Income Portfolio Management | | |

| | |Valuation models | | |

|12 |11/14 |Security Analysis |17, 18, 19 | |

| | |Options and Futures | | |

|13 |11/28 |Options and Futures |20, 22 | |

| |12/5 |Second Paper Due 12/05 | | |

| | |Value at Risk | | |

|14 |12/5 |Value at Risk in Portfolio Management |Handout |Quiz 4 |

The above schedule and procedures in this course are subject to changes in the event of extenuating circumstances.

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