Asset Classes and
Financial Instruments
Major Classes of Financial Assets or
Securities
Money market securities
Capital market securities
Bonds or fixed income securities
Equity securities
Derivative securities
Money Market
Subsector of the fixed-in
FINA 3080-H:
Investment Analysis and Portfolio Management
Lecture 3
Portfolio Mathematics and Capital Allocation
Darwin Choi
January 23, 2017
Recap from Last Lecture
Indexes
How Securities Are Traded
Buying on Margin
Short Selling
Expected vs. Realized R
FINA 3080-H:
Investment Analysis and Portfolio Management
Lecture 10/11
Derivatives Markets
Darwin Choi
April 3/10, 2017
Recap from Last Lecture
Behavioral Finance: An Introduction
Bonds & Bond Pricing
Yield-to-Maturity
The Term Structure under Certainty
FINA 3080-H:
Investment Analysis and Portfolio Management
Lecture 8
The Efficient Market Hypothesis
and Behavioral Finance
Darwin Choi
March 20, 2017
Recap from Last Lecture
Performance Evaluation Overview
Six Performance Measures
Sharpe Measure
Trey
Prof. Chow Ying-Foon, Ph.D.
Room 1215, Cheng Yu Tung Building
Department of Finance
The Chinese University of Hong Kong
20132014 Second Term
Phone: (+852) 3943 7638
Fax: (+852) 2603 6586
Email: yfchow@baf.cuhk.edu.hk
FINA 3080 F Investment Analysis and Po
FINA 3080 F
Investment Analysis and
Portfolio Management
Prof. CHOW Ying-Foon, Ph.D.
Department of Finance
The Chinese University of Hong Kong
Contact Information
Room 1215, Cheng Yu Tung Building
Tuesday PM / by appointment
Phone: (+852) 3943 7638
Fax: (
FINA 3080-H:
Investment Analysis and Portfolio Management
Lecture 9
Fixed-Income Securities
Managing Fixed-Income Portfolios
Darwin Choi
March 27, 2017
Recap from Last Lecture
Luck or Skill?
Randomness & Market Efficiency
Information & Market Efficiency
FINA 3080 EFG
Investment Analysis and
Portfolio Management
Prof. Jie CAO
Lecture 8A
CAPM
FINA 3080 EFG Spring 2017 Prof. Jie CAO
1
Lecture 8A Outline
Capital asset pricing model (CAPM)
Intuition
Implications
FINA 3080 EFG Spring 2017 Prof. Jie CAO
2
Ca
The Chinese University of Hong Kong
FINA 3080-H: Investment Analysis and Portfolio Management
2016 17 Term 2
Instructor: Prof. Darwin Choi
Homework Assignment 1 Empirical Properties of Returns & Returns Utility
Due on Monday, February 27, 2017
Each group
FINA 3080 EFG
Investment Analysis and
Portfolio Management
Prof. Jie CAO
Lecture 7
Diversification and Optimal Portfolios
FINA 3080 EFG Spring 2017 Prof. Jie CAO
1
Lecture 7 Outline
The benefit of diversification
Constructing the efficient frontier by m
FINA 3080 EFG
Investment Analysis and
Portfolio Management
Prof. Jie CAO
Lecture 4A
Interest Rate Sensitivity
FINA 3080 EFG Spring 2017 Prof. Jie CAO
1
Lecture 4A Overview
Bond Pricing Relationships
Find Zero prices at different interest rates
Define a
FINA 3080 EFG
Investment Analysis and
Portfolio Management
Prof. Jie CAO
Lecture 6A
Risk Aversion and Capital Allocation
FINA 3080 EFG Spring 2017 Prof. Jie CAO
1
Lecture 6A Outline
Properties of the investment environment
Preview of the portfolio choice
FINA 3080 EFG
Investment Analysis and
Portfolio Management
Prof. Jie CAO
Lecture 9A
Introduction to Options
FINA 3080 EFG Spring 2017
Prof. Jie CAO
1
Lecture 9A Overview
Option features and types
Payoffs and profits for stock options
Option strategies
Put
FINA 3080 EFG
Investment Analysis and
Portfolio Management
Prof. Jie CAO
Lecture 5A
Introduction to Valuing Equity
FINA 3080 EFG Spring 2017 Prof. Jie CAO
1
Lecture 5A Overview
Concepts behind equity valuation
Claim on assets residual cash flows (CFs)
FINA 3080EFG
Investment Analysis and
Portfolio Management
Prof. Jie CAO
Lecture 3A
Bond Prices and Yields
FINA 3080 EFG Spring 2017 Prof. Jie CAO
1
Lecture 3A Outline
Bond characteristics
Bond pricing
All no-default bonds are portfolios of Zeros
Arbitra
FINA 3080 EFG
Investment Analysis and
Portfolio Management
Prof. Jie CAO
Lecture 2A
Financial Market and Instruments
FINA 3080 EFG
Spring 2017
Prof. Jie CAO
1
Lecture 2A Overview
Assets and financial market
Equity instruments
Debt instruments
Money ma
The Efficient Market Hypothesis
Efficient Market Hypothesis (EMH)
Do security prices accurately reflect
information?
Informational Efficiency
Are price changes consistently predictable?
Allocational Efficiency
Are prices correct in that they accurate
Efficient Diversification
Diversification and Portfolio Risk
Recall the example where a portfolio manager
was given a fully diversified portfolio and a
risk-free asset
Standard deviation of returns as a measure of risk
However, how can we construct ful
Lecture 7 Outline
The benefit of diversification
FINA 3080 EFG
Investment Analysis and
Portfolio Management
Constructing the efficient frontier by many risky asset
Optimal risky portfolio and complete portfolio
Portfolio separation theorem
Summary of
Lecture 8A Outline
Capital asset pricing model (CAPM)
FINA 3080 EFG
Investment Analysis and
Portfolio Management
Intuition
Implications
Prof. Jie CAO
Lecture 8A
CAPM
FINA 3080 EFG Spring 2015 Prof. Jie CAO
1
FINA 3080 EFG Spring 2015 Prof. Jie CAO
2
E(
Suppose IBM returns are
10%,8%,15% in yr 2012,13,14
respectively
Use the past returns average
to expect the current year return
Lecture 6A Outline
FINA 3080 EFG
Investment Analysis and
Portfolio Management
FINA 3080 EFG Spring 2015 Prof. Jie CAO
1
Assessi