FIN450 – Portfolio Analysis
Hoang Huy Nguyen, Ph.D.
Associate Professor of Finance
Harry Y. Wright Chair in Finance
University of Baltimore
hoangnguyen.fbf.neu@gmail.com
Spring, 2014
Dr. Hoang H. Nguyen is a visiting scholar during the Spring of 2014.
His academic credentials include:
Education:
Ph.D. from University of Central Florida
MS in Business/Finance from University of Baltimore
Courses taught:
At University of Baltimore
Excel for Financial Analysis (FIN330)
Business Finance (FIN331)
International Financial Management – Undergraduate (FIN433)
International Financial Management – MBA (FIN720)
Corporate Finance – MBA (FIN640)
At University of Central Florida
International Financial Management (FIN4604)
Financial Markets (FIN3303)
At National Economics University – Vietnam
Bank Management
Publication:
Analyst Coverage and Market Reaction around Stock Split Announcements. Applied
Financial Economics, 2012.
“The Effects of Listing Changes between NASDAQ Market Segments”, Journal of
Economics and Finance, 2011.
“The Information Content of Changes in Breadth of Institutional Ownership”, Journal of
Banking and Finance, 2011.
“The Effect of Option Listing and Momentum Return and Reversal”, Global Business
and Finance Review, 2011.
“Changes in the Liquidity of Closed-End Country Funds after the Introduction of the
World Equity Benchmarks,” Quarterly Review of Economics and Finance, 2009.
Award:
2011 Chase Manhattan Bank Research Award, University of Baltimore.
2012 Invited research presentation at Campbell & Company Inc., a leading hedge fund in
Maryland.
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Course Description
Portfolio analysis and management is the center of modern investment. This course provides
and in-depth discussion of various investment vehicles, different measure of return and risk,
and the risk-return trade-off one faces when it comes to portfolio management. Specifically,
this course will cover the following topics: introduction and brief reviews; portfolio theory;
asset pricing models (Capital Asset Pricing Model, Arbitrage Pricing Theory, among others);
efficient market theories; and investment management and performance evaluation.
Course Materials
Investments by Zvi Bodie, Alex Kane and Alan Marcus, 9th Edition, McGraw-Hill/Irwin.
Performance Evaluation
Quiz:
4-6 quizzes will be given during regular class time. They are designed to give you an
opportunity to review and familiarize yourself with the material covered in class or to enhance
your understanding about important portfolio management issues.
Exams:
There will be two (2) mid-term tests and one final exam. All are close-book, close-notes. Final
exam will be comprehensive. There will be no “make-up” test.
You will receive 0 for the test you miss unless you can provide appropriate documents. In this
case, your final exam will carry a combined weight (50-55%) in determining your course grade.
Grade:
Your weighted average grade will be based on the following schedule:
Mid-term Test #1
45%
Final Exam
45%
Quiz
10%
Grade Scale: Please note that grades/percentages will not be ‘rounded up’
A ≥ 90.0%
B ≥ 80.0%
C ≥ 70.0%
D ≥ 60.0%
F < 60.0%
Class attendance:
- Regular class attendance is required. I will not provide any information about previous
classes outside class or via email. In other words, come to class on time, listen, and ask
pertinent questions when appropriate. If you have to miss a class, it is your responsibility
to determine what you missed by communicating with your classmates.
Testing policy:
- All tests are closed-book/note
- No smart phone is allowed in the test.
Classroom code of conduct:
There is code of conduct that is expected of all students in this class. Violations and
nonprofessional behavior will result in deductions from your in-class grade.
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-
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Class begins at the stated start time. Each student is expected to be in the classroom,
seated and ready to begin at the specified class starting time. It is understandable that a
student may be a few minutes late on rare occasions but this should never be a habit.
Habitual late offenders will not only lose points for their in-class grade but will lose the
respect of your classmates and me.
Turn off any electronic device is that might distract you, the instructor, or your
classmates. Cell phones should not be visible to you or to others.
Text messaging, reading newspapers and magazines, playing on your computer and
working on other classes during class time are not permitted.
Academic Integrity
Any student caught in an act of academic dishonesty or cheating will immediately be assigned a
grade of “F” for the entire course.
TENTATIVE SCHEDULE
Readings
BKM 9th
edition
Session
Date
Topic
1
01/03
Review of Investment Basics
The Investment Environment
Video: High frequency trading
Flash crash 2010
Chapter 1
Financial Instruments and Market Indexes
Chapter 2
How securities are traded
Video: Dark Pool
Chapter 3
Securities Analysis
2
01/06
3
01/07
Equity Valuation Model
Target Valuation
Chapter 18
Financial Statement Analysis
Financial Statement.xls
Chapter 19
Portfolio Theory
4
01/08
Historical Rates and Risk Premiums
5
01/09
6
01/10
Index Model
Chapter 8
7
01/13
Index Model (cont.)
Presentations
Chapter 8
8
01/14
TEST 1
9
01/15 AM
Risk Aversion and Capital Allocation to Risky Assets
Optimal Risky Portfolios
3
Chapter 5
Chapter 6
Chapter 7
10
01/15 PM
Optimal Risky Portfolios
Financial Modeling 1 (laptop required)
Chapter 7
Asset Pricing Models
11
01/16
12
01/17
13
01/20
The Capital Asset Pricing Model
Financial Modeling 2 (PC required)
The Capital Asset Pricing Model
Financial Modeling 2 (PC required)
Efficient Market: - Theory and Evidence
Chapter 9
Chapter 9
Chapter 11, 13
Derivatives Market
14
01/21
Introduction to Options Markets
Hedge ratio
Chapter 20
15
01/22
Introduction to Future Market
Chapter 22
16
01/23
TEST 2
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