FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 1. Introduction, Asset and Security Classes
Yunjeen Kim
Agenda
Today:
FE323 vs. FE445?
What is a financial asset?
Why do we need markets?
What is cash?
2
What Did We Learn in FE323
FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 4. Risk and Return
Yunjeen Kim
Agenda
Review:
Distribution of returns: mean and variance
Risk matters in asset allocation
What exactly is risk?
Today:
Real vs. Nominal return
Sha
FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 7. Index Models and the CAPM
Yunjeen Kim
Agenda
Review:
How to allocate between risky and riskless
How to choose optimal risky portfolio
Today:
Systematic versus diversifiable risk
FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 3. Performance of Securities
Yunjeen Kim
Agenda
Review:
Major asset classes
Investors need to consider: return, risk, liquidity, costs, etc.
Today:
Mean and variance of returns
Di
FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 12. Behavioral Finance and Bubbles
Yunjeen Kim
Agenda
Review:
If markets efficient: no arbitrage.
=0 in CAPM, Fama-French and APT.
Do passive portfolio management.
Tests show marke
FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 9. Fama-French Factors and
Arbitrage Pricing Theory
Yunjeen Kim
Agenda
Review:
Trade-off between risk and return.
Measure for priced risk is beta, CAPM equation:
ri,t = rf ,t + i ( r
FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 8. Market Indexes and the CAPM in Practice
Yunjeen Kim
Agenda
Review:
Optimal diversification
CAPM:
Use specific assumptions.
Optimal risky portfolio is the market portfolio .
For
FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 10. Evaluating Portfolios and Alpha
Yunjeen Kim
Agenda
Review:
Only non-diversifiable risk should be priced, which is
CAPM, for any security i:
E(ri ) = rf + i ( E(rM ) rf )
Arbitr
FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 5. Diversification
Yunjeen Kim
Agenda
Review:
Goals regarding return and risk: utility
Optimal allocation between risky and risk-free asset
Today:
How to combine risky assets in a
FE 445 Fall 2016
Investment Analysis and Portfolio Management
Lecture 2. Investment Companies and
the Investment Process
Yunjeen Kim
Agenda
Review:
Why are there financial assets and markets?
Classes of financial securities (bonds, equity, derivatives)
Bo Yuan
MK323 Team 5
10.17.2016
Natureview farm case
Part A
1. What are the growth options under consideration by Natureview?
a. The first option is to expand six SKUs of the 8-oz. product line into one or two
selected supermarket channel regions.
b. The
05/07/2015
IS Final Study Guide
IS 14
Nomadic Exercises: Understand well
Affordance: What users can do with it system
o Ex. Redfin- changing way you buy and sell homes
o What user need with redfin identify personalization
Redfin business model: Wants to t
SM222 Final Exam Notes
Limitations of Correlation Coefficient
o ONLY captures linear regressions, not multiple
o Any multiple regression has a correlation of 0 no correlation
Regressions
Why are regressions useful?
Help improve decision making
Independen
Bo Yuan Team 5
MK 323 A4
Professor Veidenheimer
09/29/2016
Cole and Parker Case
Perform an industry analysis. What are the opportunities?
Cole and Parker are about to launch their new design of socks, which has higher quality, brighter
color and different
1. Suppose the spot and 6-month forward FX rates are USD 2.05 per GBP and USD 2.04 per GBP and that the 6month (risk-free) USD interest rate is 1.00% on a 360-day money market (addon) basis. Assuming no-arbitrage
(i.e., assuming interest rate parity holds
1)
The arbitrage opportunity that the trader can make is, that he is 100% sure that the real forward FX exchange rate will be
higher, than what the implied FX rate will be. Knowing that the market will adjust itself, he can now do the following:
First, th
FE 323 Class Outline for FE 6
Materials to bring to class
LAPTOP loaded with Excel
HP financial calculator
BDH textbook
Assigned Reading
BDH chapter 19
Discussion
Learning Objectives
At the end of FE 6, you should:
-Be able to forecast an Income Statement
Douglas Chiu
February 7, 2015
Fresco Case
Pizza trends, trends toward more healthy alternatives
Willingness to pay for pizza
Types of stores that would be willing to hold refrigerated pizzas/frozen pizzas
The amount of pizzas purchased every year.
FE 323 Class Outline for FE 4
Materials to bring to class
LAPTOP loaded with Excel
HP financial calculator
BDH textbook
Assigned Reading
BDH chapter 9 through section 9.4 pages 274-279
Discussion
Did you have any issues with MFL FE#3?
Assignments due
Afte
FE 323
Midterm Practice
Questions
1. Monica is analyzing a project that currently has a projected NPV of zero.
Which of the following changes that she is considering will help that project
produce a positive NPV instead? Consider each change independently
2016 FE 323 Class Outline for FE 8
Materials to bring to class
HP financial calculator
An Excel-enabled device (laptops, etc)
BDH textbook
Assigned Reading
BDH chapter 9 through section 9.6 pages 279-289
Discussion
Any MFL issues?
Learning Objectives
At t
2016 FE 323 Class Outline for FE 9 and FE 10
Materials to bring to class
HP financial calculator
BDH textbook
Assigned Reading
BDH chapter 10 through 10.3 (day 1), all the rest (day 2)
Discussion
Assignments due: HW#9 due Wed Oct 5 at 11:59 PM. Extensions
FE 323 Class Outline for FE 1
Materials to bring to class FE 1
A web enabled device (smartphone, Ipad or laptop)
HP financial calculator! Every class! A smartphone app that mimics the calculator is available at
HP.co). App is NOT allowed in exam rooms.
As
FE 323 Class Outline for FE 5
Materials to bring to class
LAPTOP loaded with Excel
HP financial calculator
BDH textbook
Assigned Reading
BDH chapter 18 through section 18.4 (pp 555-567)
Discussion
Did you have any issues with MFL FE#5?
Assignments due
Aft
FE 323 Class Outline for FE 7
Materials to bring to class
LAPTOP loaded with Excel
HP financial calculator
BDH textbook
Assigned Reading
BDH chapter 19
Discussion
Learning Objectives
At the end of FE 7, you should:
-know how to calculate the operating cyc
2016 FE 323 Class Outline for FE 3
Materials to bring to class
HP financial calculator
BDH textbook
Assigned Reading
BDH chapter 9 through section 9.4 page 279
Discussion
Did you have any issues with MFL FE#2?
Learning Objectives
Chapter 9 lectures, probl
2016 FE 323 Class Outline for FE 2
Materials to bring to class
HP financial calculator
BDH textbook
Assigned Reading
Finish reading BDH chapter 8.
Begin chapter 9 BDH chapter 9 through section 9.3 page 273
Discussion
Did you have any issues with MFL FE#1?
Equations for Midterm exam:
Profitability Index
Value Created
NPV
Resource Consumed
Resource Consumed
Unlevered Net Income EBIT (1 c )
(Revenues Costs Depreciation) (1 c )
Net Working Capital Current Assets Current Liabilities
Cash Inventory Receivable
Classwork activity: Estimating FCF
Use the information for the question(s) below.
Food For Less (FFL), a grocery store, is considering offering one hour photo developing in their
store. The firm expects that sales from the new one hour machine will be $15