Investment Analysis And Portfolio Management

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ISBN- 978-93-90460-82-3

AUTHORS- Prof. Azra Kouser , Mrs Rashmi N

                                                                                               Syllabus

 

Module1: The Investment Background and Financial Markets                      6 Hours

Concepts of Investments, Investment Objectives, Process, Planning, Investment Vs Speculation, Gambling and Arbitrage: Investment Alternatives, Macro Economic Factors Influencing Investment, Investment Environment in India: Individual Investment Life Cycle, the Need for Investment Policy Statement. Approaches to Investment Decisions: Code of Ethics and Standards for Investment Professionals.

 

Financial Markets and Participants in Securities Market in India, New Issue Market, Secondary Market, Stock Market Indices, Debt Market, Money Market Instruments and Recent Development in Indian Capital Markets.

 

Module 2: Risk and Return Analysis                                                                 6 Hours

Concept of Realised and Expected Return. Real and Nominal Rate of Return Required Return, Excess Return and Holding Period Return, Measurement of Ex-post and Expected Return, Continuous Probability Distribution, Concept of Risk, Upside and Downside Risk, Sources of Risk, Types of Risk-Systematic and Unsystematic Risk; Risk Aversion. Measurement of Risk of Individual Security, Standard Deviation, Coefficient of Variation; Beta as a Measure of Risk.

 

Module 3: Portfolio Analysis: The Mechanics of Investment                         12 Hours

Modern Portfolio Theory: Conceptual Framework, Diversification and Portfolio Risk; Markowitz Risk Return Optimization: The Mathematical Model, Quantification of Portfolio Risk and Return: Effect of Combining Securities in Portfolio, Efficient Frontier, Computing Utility and Selection of Optimal Portfolio.

 

Single Index Model- Concept of Alpha and Beta- Corner Portfolio, Sharpe‘s Portfolio Risk and Return, Security Characteristics Line, Portfolio Optimization and Selection.

 

Module 4: CAPM and Arbitrage Pricing Theory                                            10 Hours

Capital Asset Pricing Model, Construction of Optimal Portfolio with Risky and Riskless Assets, The Separation Theorem, 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 for Security Return Volatility.

 

Module 5: Performance Evaluation and Revision of Portfolios                      10 Hours

Performance Evaluation- Sharpe‘s Performance Index, Treynor’s Performance Index and Jensen‘s Measure to identify the Predictive Ability, Information Ratio, Sortino’s Ratio, Challenges in Performance Management. Portfolio Revision Methods- Investment Timing, Formula Plans Constant Dollar Value Plan, Constant Ratio Plan, Variable Ratio Plan.

 

Module 6: Security Analysis and Behavioural Finance                                   12 Hours

Fundamental Analysis: E-I-C Approach. Variables used in E-I-C Analysis. Technical Analysis Vs Fundamental Analysis. Efficient Market Hypothesis; Concept and Forms of Market Efficiency.

 

Technical Analysis: Basic Tenets and Premises of Technical Analysis; Dow Theory, Price and Volume Charts, Moving Averages, Relative Strength Index, Rate of Change, Stochastic Oscillators. Behavioural Finance and Technical Analysis, Introduction to Behavioural Finance and how it differs from the Tenets of Traditional Finance, Assumptions, Biases, Errors and Irrationalities that can affect Investment Behaviour, Takeaway from Behaviourists Arguments.

BCU2020/MBA/3/02
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