PMBA 6321 Portfolio Management
This course focuses on how to make decisions regarding investment mix and policy, how to match investments to objectives given risk preferences, and how to allocate funds among different asset classes. The portfolio management process, portfolio management theories, and capital market theory will be examined. Special emphasis will be placed on how to distribute capital between risky assets and the risk-free asset in order to construct an optimal risky portfolio. Hedging portfolio risk using derivative securities such as options, futures, and swap contracts will be covered. Students will also be introduced to techniques used to evaluate an investment portfolio’s performance including measuring investment returns, the M2 measure of performance, the information ratio, Sharpe’s ratio, the Treyor ratio, and Jensen’s measure of portfolio performance. Finally, an introduction to the theory of active portfolio management will be provided