MSF 5002 SECURITY ANALYSIS and PORTFOLIO MANAGEMENT
Course Syllabus/2010-2011 Spring
Instructor:
Gülüzar KURT GÜMÜŞ, MBA, PhD
Assistant Professor of Finance
guluzar.kurt@deu.edu.tr
http://kisi.deu.edu.tr/guluzar.kurt/
Course Objective:
to inform students about functioning of securities markets, risk and return, risk aversion, theories related to
investment, performance evaluation, and international diversification.
Course Methodology:
The instructional format includes lecture sessions and problem assignments. Active participation in discussions is
a course expectation.
Required Textbook and Materials
Z. Bodie, A. Kane, A.J.Marcus, Investments, 6th ed., Mc-Graw Hill, 2005.
Calculator: You will need a calculator to do homework and exams (You are NOT allowed to use your cell phones
as a calculator).
Recommended Books:
Haim Levy and Thierry Post (2005), Investments, Financial Times Prentice Hall,
Charles Jones (2004), Investments: Analysis and Management, 9e, Wiley & Sons,
Mark Hirschey and John Nofsinger (2008), Investments: Analysis and Behavior, McGraw Hill,
Grading
Problem Assignments (in class)
20%
Article Writing
20%
Portfolio Game
20%
Final Exam
Total
40%
100%
Problem Assignments & Homeworks: The problem solving sections will be conducted in class. It’s necessary to
participate in problem solving sections.
Article Writing: Each student will prepare a draft paper including an empirical analysis on any topic related with
the course.
Final Exam: The final exam will cover all topics discussed in the class.
Portfolio Game: Each student is required to form a portfolio with 100,000 TL which must consist of:
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One company from manufacturing industry
One company from service industry
One company from finance industry
One company from technology industry
A gold fund
A foreign currency
An A-type fund
A B-type fund
A treasury bond or bill (zero coupon or with coupon payments)
The portfolio will start on 21.02.2011. It will be liquidated on 02.05.2011.
Students have to hand in weekly portfolio reports and they should give information about changes (if there are) in
the portfolio, last value of the each item of the portfolio and the value of the portfolio. They should also give
information about the value of ISE-100 index.
Late assignments will NOT be accepted.
TENTATIVE COURSE SCHEDULE
DATE
TOPIC
February 15,
Introduction & Review
February 22,
Ch. 5 History of Interest Rates and Risk Premiums
Form the Portfolio
Ch. 6 Risk and Risk Aversion
21.02.2011)
March 1,
Ch. 6 Risk and Risk Aversion
ASSIGNMENT
(it
should
start
on
Choose the Article Topic
Ch. 7 Capital Allocation Between the Risky Asset and Weekly Portfolio Report
The Risk-free Asset
March 8,
Ch. 8 Optimal Risky Portfolios
Detailed Report on ISE
Weekly Portfolio Report
March 15,
Ch. 9 The Capital Asset Pricing Model
Weekly Portfolio Report
March 22,
Ch. 10 Index Models
Weekly Portfolio Report
March 28 - Mid-terms
April 8
April 12,
Ch. 11 Arbitrage Pricing Theory and Multifactor Weekly Portfolio Report
April 19,
Ch. 12 Market Efficiency and Behavioral Finance
Weekly Portfolio Report
April 26
Ch. 24 Portfolio Performance Evaluation
Weekly Portfolio Report
May 3,
Ch. 25 International Diversification
Portfolio Game Final Report
May 10,
Paper presentation
Submission of Articles
May 17
Paper presentation
Models of Risk & Return