Investment Analysis and Management

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Dr. Saroj Kumar & Prof. Prathap B N

ISBN - 9789351638742

Bangalore University-BU, MBA, Fourth Semester

Syllabus

4.2.1: INVESTMENT ANALYSIS & MANAGEMENT

Module-1: Basics of Investments (6 Hours)

Concepts of investments, Investment vs. Speculation, Gambling and Arbitrage: Forms of investment-investment in physical and financial assets; investment alternatives, investment objectives, constraints; investment process: direct and indirect investment. Macro-economic factors influencing investment, Investment environment in India.

Module-2: Risk and Return (6 Hours)

Concept of Risk; Sources of Risk, Types of Risk-Systematic and unsystematic Risk; Risk Aversion. Measurement of Risk- Standard Deviation, Coefficient of variation; Beta as a measure of Risk. Concept of Return. Measurement of Return; Relative Return, Expected value and measuring Return over multiple periods.

Module-3: Security Analysis (12 Hours)

Fundamental Analysis: E-I-C approach. Variables used in E-I-C analysis. Technical Analysis: Basic tenets and Premises of Technical Analysis; Dow theory and Elliott wave theory; Price and volume charts, Price pattern analysis, Market indicators, Weakness and shortcomings of Technical Analysis. Technical Analysis vs. Fundamental Analysis. Efficient Market Hypothesis; Concept and Forms of Market Efficiency

Module-4: Portfolio Analysis and Management (12 Hours)

Diversification and Portfolio Risk; Measurement of Portfolio Risk and Return: Elements of Portfolio Management, Portfolio Analysis and Portfolio Selection, Portfolio Models – Markowitz Model, Diversification, Efficient Frontier and Selection of Optimal Portfolio. Markowitz Portfolio Risk and Return. Sharpe Single Index Model- Concept of alpha and Beta- Corner Portfolio, Sharpe’s Portfolio Risk and Return, Portfolio optimization and selection.

Module-5: Capital Market Theory (10 Hours)

Capital Asset Pricing Model, Capital Market Line and Security Market Line – Applications of Security Market Line, Empirical Evidence of Capital Asset Pricing Model, Beta of CAPM, Arbitrage Pricing Theory, Building of Arbitrage Portfolio, Return Generating process, Factor Model.

Module-6: Performance Evaluation and Revision of Portfolios (10 Hours)

Selection criteria: Performance Evaluation- Sharpe’s Performance Index, Treynor’s Performance Index and Jensen’s Measure to identify the predictive ability, Evaluation of Mutual Fund.-NAV method, Portfolio Revision Methods- Investment Timing, Formula Plans Constant Dollar Value Plan, Constant Ratio Plan, Variable Ratio Plan.

Reference BU2016/MBA/4/02

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