FINS3640 - Semester 2 2010 - Week 5 & 6 Preparation

Dear Students,

In week 5 we will continue with modeling using Stata. Please come with questions and data sets.

In week 6 we will move on to extending your knowledge of portfolio management. I’d advise you to review your FINS2624 and FINS1613 knowledge. Specifically, here are a few things you should have been familiar with:

1. Discrete return, excess return, continuous return calculation


2. Arithmetic return and geometric return calculation


3. Asset classes


4. Standard deviation, variance, covariance, correlation calculation. Variance-covariance matrix, correlation matrix


5. Annualised values


6. Nominal rate


7. Single-index model


8. CAPM


9. Efficient frontier with and without short-sale


10. CML


11. SML


12. Utility function


13. Fixed income term structure: market expectation, liquidity premium


14. Fixed income duration, convexity


15. Equity and fixed income valuation models


16. Active and passive portfolio management


17. Efficient market hypothesis

You need to have Simon Benninga Financial Modeling 3rd edition. Bodie Kane Marcus Investment 8th edition is highly recommended.

Regards,

Tai

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