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Portfolio Management Course Overview

This document provides information about the Portfolio Management course offered during the summer of 1998 at the University of California, Irvine Graduate School of Management. The course will be taught by Professors Philippe Jorion and Eli Talmor. It will cover topics such as derivatives, international investments, business planning, and mutual fund evaluation. Students will learn tools for investment decisions and how to construct a business plan with financial analysis. The course grade will be based on quizzes and business plan projects. Required readings include texts on investment theory and the Orange County derivatives bankruptcy case.

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54 views3 pages

Portfolio Management Course Overview

This document provides information about the Portfolio Management course offered during the summer of 1998 at the University of California, Irvine Graduate School of Management. The course will be taught by Professors Philippe Jorion and Eli Talmor. It will cover topics such as derivatives, international investments, business planning, and mutual fund evaluation. Students will learn tools for investment decisions and how to construct a business plan with financial analysis. The course grade will be based on quizzes and business plan projects. Required readings include texts on investment theory and the Orange County derivatives bankruptcy case.

Uploaded by

z_k_j_v
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd

University of California, Irvine

Graduate School of Management


Summer 1998

PORTFOLIO MANAGEMENT
Management 290
Professors:
Office:
Phone:

Philippe Jorion and Eli Talmor


405 GSM/409 GSM
824-5245/6639

Administrative Assistant:
Office:
Phone:

Valeska Wolf
426 GSM
824-8391

Course Structure
The objective of the course is to equip students with better tools for investment decisions.
The first part of the course will be devoted to portfolio management within the context of
personal finance; the second will be devoted to the construction of a business plan and financial
evaluation. This course will build on the foundation provided in the previous investment course
and cover additional important topics.
Portfolio management is concerned with allocation of investments across asset classes and,
within asset classes, to managers. We will discuss investments with derivatives and in international
markets, and the evaluation of mutual funds. Business planning is an investment decision that
involves real assets and allocation of scarce investment funds. The course will show how to prepare
a business plan using state-of-the-art software, sources of financial data and analytic services and
financial evaluation.
This course will be team-taught by Professors Philippe Jorion and Eli Talmor.

Course Materials
The required texts are:
Robert Haugen, Modern Investment Theory, (already required for 209B)
4rd Edition, Prentice Hall, 1996
Philippe Jorion, Big Bets Gone Bad: Derivatives and Bankruptcy in Orange County,
Academic Press, 1995
with in addition selected chapters from other texts and journal articles in a case package.
The software consists of the modules Business Planner by B-Plan USA.
Please note that it is essential to read the assigned material before coming to class.

Course Evaluation
The grade will be based on:
Quiz
Business plan projects

50%
50%.

Course Outline
I.

Introduction to Derivatives
Reading:
Jorion: Big Bets book*
Powerpoint Notes

II.

Derivatives in Portfolio Management: futures and forwards


Reading:
Financial Forward and Futures Contracts, Haugen, Chapter 19*
Powerpoint Notes

III.

Derivatives in Portfolio Management: options and dynamic hedging


Reading:
European Option Pricing, Haugen, Chapter 16*
Powerpoint Notes

IV.

International Investments: why and how


Reading:
Portfolio Risk Management: International Dimensions, in Jorion and
Khoury book, Financial Risk Management, pp. 273-283*
International Investing for Private Clients, Spirandelli, in ICPC, AIMR, 1993
Powerpoint Notes

V.

Business Planner
Reading:
How to Write a Great Business Plan, W. Sahlman,
IEEE Engineeering Management Review, Spring 1998.
Clarkson Lumber Case*

VI.

Sources of Analytic Services and Accessing Financial Data on the Web

VII.

Evaluating Mutual Funds: performance measurement


Reading:
Measuring Portfolio Performance, Haugen, Chapter 11*
Optional:

Does Historical Performance Predict Future Performance? Kahn and Rudd,


Financial Analysts Journal, November-December 1995, pp. 43-52.
Returns from Investing in Equity Mutual Funds 1971 to 1991, Malkiel,
Journal of Finance, June 1995, pp. 549-572.

(* denotes essential readings)

Course Schedule: GSM 290-Portfolio Management


Week Days
I. Jun 25
Session 1

I.

I.

Jun 26
Session 2 (1/2)
Session 2 (1/2)

Jun 27
Session 3

Topic

Instructor
Jorion

Derivatives: Introduction
Derivatives: Futures and Forwards

International Investments
Introduction to Business Planner
- Installation of software
- Introduction to Clarkson Lumber case

Jorion
Talmor

Derivatives: Options

Jorion

___________________________________________________________________
II.

II.

II.

Jul 16
Session 4

Jul 17
Session 5

Jul 18
Session 6

Business Planning
- Solution to the Clarkson Lumber case
Analytic Financial Services

Talmor

Accessing Financial Data on the Web


Mutual Funds - Styles

Talmor

Mutual Funds - Performance

Talmor

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