Applied Portfolio Management
Course Key Information
Key Information
• Staff contacts
• Course schedule
• Textbook
• Lectures
• Assessments
Applied Portfolio Management
2
Contact Details
• Lecturer-in-charge (LIC): Haoxu Wang (Primary Contact)
• Email: haoxu.wang1@unsw.edu.au
• Lectures 6-10 and all course administration related enquiries.
• Lecturer: Jianfeng Shen (Secondary Contact)
• Email: Jianfeng.shen@unsw.edu.au
• Lectures 1-5
• Online Consultations (by appointments).
• Please email Jianfeng or Haoxu for an appointment to meet online in
the “Consultation Room” accessible via the course Moodle site.
• Please follow the link “Online Lecture, Consultation and Meeting
Sessions” in the “Online Sessions” on the course Moodle site.
Staff contacts
3
What if you have questions
• Moodle discussion forum
• Most efficient and preferred
• The LIC will check the forum regularly
• Beneficial to all of you as a learning community
• Online discussion: before/after lectures and consultation sessions
• Emails
• encourage to use only for questions/issues involving privacy or
urgency
• only emails sent from your UNSW email address will be attended
• Finally, please check Moodle course site regularly for relevant
information, especially announcements (which will be sent to your
UNSW email address)
Staff contacts
4
Course Objectives
Goal is to provide a foundation for analytical & quantitative tools to better
understand funds management
• Portfolio construction
◦ Active + Passive
• Asset pricing models
• Apply insights from financial models
• Data analysis
Course schedule
5
Course Schedule
Week
Week 1
Week 2
Week 3
Week 4
Week 5
Week 6
Week 7
Lecture Topic
Portfolio Theory and
Application (I)
Portfolio Theory and
Application (II)
The Capital Asset Pricing
Model
Arbitrage Pricing Theory
and Multi-Factor
Representation
Active Portfolio Management
Overview of group
assignment
Portfolio Performance
Evaluation
Recommended readings
Other
BKM Chapters 5, 6, 7, 8
BKM Chapters 5, 6, 7, 8
BKM Chapter 9
BKM Chapter 10
Online quiz 1
BKM Chapter 27
BKM Chapter 24
Week 8
Efficient Market Hypothesis
BKM Chapter 11
Week 9
Behavioural Finance
BKM Chapter 12
Week 10
Empirical Evidence on Security
Returns
BKM Chapter 13
Course schedule
Assessment/
Online quiz 2
Online quiz 3
Group project
6
Textbook
•
Bodie, Kane, and Marcus, Investments, 12th edition, McGraw-Hill
Education
•
Purchase options
•
Print Book: https://www.mheducation.com.au/ise-investments9781260571158-aus
•
eBook: https://www.mheducation.com.au/ise-ebook-online-accessfor-investments-9781260590241-aus
•
You should also be able to purchase either the printed book or ebook
from UNSW bookshop website.
•
You may use an earlier edition of the book (at your own risk)
•
You may also choose to go without a textbook (at your own
risk)
Textbook
7
Lecture readings
• For each lecture, the lecturer will normally post the lecture note and the
problem set questions at least one week in advance
• You should try to read the lecture note (and the related chapters in
the textbook) before the lecture.
• Though you are not required to submit your solutions to the problem
set questions, you are expected to attempt key questions as indicated
after the lecture.
• The solution will be uploaded online one week after each lecture.
Lectures
8
Lecture format
• F2F lectures (Tuesday evening)
• If you are not able to attend F2F lectures, you can attend the online
one
• You can also find recordings of F2F lectures on ECHO360 via
Moodle
• Online lectures (Monday evening)
• Lectures will be done online via Collaborate Ultra
• Please follow the link “Online Lecture, Consultation and Meeting
Sessions” in the “Online Sessions” on the course Moodle site.
• To find lecture recordings, please click on the menu button at the
top-left corner of the page.
• Each session will comprise of roughly 2-hour lecture + 45mins
problem set discussion.
Lectures
9
Assessments
Assessments Type
Weight
Participation
Quizzes
Group Assignment
Final Exam
Total
15%
15%
30%
40%
100%
Assessments
Length
Due Date
2 hours
Week 4, 7 and 10
Week 10
University Exam Period
10
Participation
Moodle-forum discussion contribution (10%)
• By default, everyone gets a minimum of 3 marks.
• The remaining 7 marks will be determined by your CONSTRUCTIVE
contribution to Moodle-forum discussion.
Lecture attendance (5%)
Assessments
11
Participation
Moodle-forum discussion contribution (10%)
Lecture attendance (5%)
•
•
•
•
Everyone will automatically get 1 mark each for the first two lectures (to deal with
various administrative issues related to course enrolment).
Each later lecture attendance accounts for 1 mark, up to 5 marks in total for attendance.
If for any reason one claims not being able to attend the lectures, he/she can substitute
the lecture attendance mark with the 40% of Moodle-forum contribution mark (i.e., 0.8*
Moodle-forum contribution mark/2).
Operationally wise, your final attendance mark = max(actual attendance mark, 0.8*
Moodle-forum contribution mark/2)
Assessments
12
Online quizzes
3 online quizzes (15% of total mark)
• Quizzes tests material covered in the textbook, lecture notes, lectures, problem
sets and other assigned readings.
• These are take-home online tests.
• Each quiz will be opened for one week for you to complete.
• You will be allowed to attempt each quiz up to 2 times during its opening
period, and the best score out of your attempts will be your final score for the
quiz.
• As you will have two chances to attempt a quiz in a whole week, there will be
no special consideration allowed for quizzes.
• If you miss a quiz for any reason, the mark of this quiz will be automatically
calculated as 0.8*the average mark on other attempted quizzes.
• More details of each quiz will be announced later.
Assessments
13
Group Project
Construct a portfolio and evaluate ex-post performance
• More details will be posted on Moodle by the end of week 4.
How to form groups (starting in week 2)
• Group members can be from different classes (F2F and online)
• Go to the course Moodle site and select activity “Group Selection”
• You will see available groups
• Become a member of an empty group and ask others to join your group
• Or join a group with vacancies (max 5 members per group)
• A Moodle discussion forum is created for you to recruit group members or
advertise yourself to any group looking for new members
How do groups meet (F2F or online)
• It is up to you to decide best ways to meet online – whether to use Zoom,
Wechat, Teams or any other online meeting tool.
Assessments
14
Group Project
Groupwork contract
• All groups need to sign and submit a groupwork contract via TURNITIN on
Moodle by Friday in Week 6.
Peer Assessment of Groupwork Performance
• If there is any complaint about a member’s contribution to groupwork in a
group, all group members will be requested to complete the peer assessment of
groupwork performance at the end of the assignment.
Assessments
15
Final Exam
 Final exam
 This is an off-campus open-book online test.
 UNSW exam period (date/time to be confirmed and available in
your MyUNSW towards to the end of term)
 40% of total mark
 Coverage: all lectures
 More details will be announced later
 Please check Section “Special Consideration” in the course outline for
special consideration related to exams.
Assessments
16