Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 191)
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306-331 Investments

Year 3 Accounting.

Note: This subject is available to third-year students only.

Credit points: 12.5

Coordinator: To be advised.

Prerequisite: 306-203 Business Finance.

Contact: A 90-minute lecture and a 90-minute tutorial a week, plus up to eight 1-hour seminars presented by practitioners.

Timetable: Second semester

Objectives:

On completion of this subject a student should:

• understand and be able to apply theories of the pricing of risky assets such as the CAPM and APT;
• develop a knowledge of the binomial and Black-Scholes models of option pricing, and the use of options in portfolio management.
• appreciate the determinants of futures prices, and the role of futures markets;
• have a detailed understanding of the theory of bond pricing and fixed interest portfolio management;
• be able to analyse techniques of asset allocation performance measurement and hedging strategies;
• be able to implement simple portfolio optimisation techniques.

Content:

This subject is aimed at students envisaging a career in portfolio management. Extension of the analysis of pricing of risky assets introduced in Business Finance through examining the CAPM in more detail and introducing the Arbitrage Pricing Theory. Pricing of derivative assets - futures and options - and the role of these assets in portfolio management. The fixed-interest market. Techniques of asset allocation and performance measurement; the theory and practice of portfolio hedging. Trading and market making practices.

Assessment:

A major project/essay of no more than 3,000 words (20%); tutorial assessment (5%); a 3-hour end-of-semester examination (75%).

Prescribed texts:

• To be advised

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Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 191)

Status:          Official 1996
Date created:    Oct  9 1995
Last modified:   Oct  9 1995
Authorised by:   Academic Registrar
Email enquiries: Course_Information@registrar.unimelb.edu.au

Copyright © University of Melbourne 1995,1996.