INVESTMENT ANALYSIS
45-811
Christine Parlour
Room 338
parlourc@andrew.cmu.edu
Tel: 268-5806
Course homepage: http://www.andrew.cmu.edu/course/40/811
This course is an introduction to portfolio management.
In it, you will learn the major equilibrium theories of asset
markets such as the CAPM, APT and factor models. An understanding
of these models will allow you to organize data on asset returns
and or forecast future asset return.
You will also study measures to evaluate an actively
managed portfolio. As asset returns are random variables, it
is difficult to determine if a manager has actually added value
of if he was just luck. We will discuss the concept of market
efficiency, that is if all relevant information is incorporated
in prices. How you evaluate this debate will determine your portfolio
management style.
We will also discuss the fundamentals of the bond
market: specifically the yield curve and how it can be used to
price any fixed income security like swaps. We will also discuss
immunization, which is a technique to protect your portfolio from
changes in the interest rate. We will cover factor yield models
and factor immunization.
Evaluation: There will be six assignments in this course and your final grade will be based on 40\% assignments and 60% final. Your assignment grade will be the average of your five best, because of this, late homeworks will not be accepted.