California Polytechnic State University


BUS 431: Security Analysis and Portfolio Management
Prof. Cyrus Ramezani


Lecture Time

Section 1: TTH 03:10-05:30 PM-Room:03-302



Office Hours:

1:30-2:30 PM TTH, and by appointment

Office:

03-451

Phone:

756-1168

Email:

cramezan@calpoly.edu

WEB

http://cyrus.cob.calpoly.edu/

Communicating with the Professor: The easiest way to reach me and getting a reply to your questions is email. The next best way to reach me is to come to office hours. Please make use of my office hours.

First Assignment (due today): Send me an email. (subject line: BUS 431) providing the following information: Name, major, class level, general interests, and anything else that may interest you. I will create an email alias for the class and send articles and other important information via email. You will be responsible for materials sent to you by email (So please don't neglect email).

COURSE DESCRIPTION:

The course is concerned with the application of financial theory to the problems of investment management. The approach taken is ``bottom-up'' (instead of ``top-down'') in the sense that we will first study the valuation (selection) of financial instruments and then cover portfolio optimization and risk management. This course will be very analytical requiring extensive use of Excel. Our primary focus will be on the equity market and futures, options and other derivatives with equity as their underlying asset. Topics will include various stock valuation models and investment strategies, portfolio optimization and asset allocation, the CAPM , and their implications for investment management. Students will be required to learn and use optimization software and write programs in Excel (others).

Prerequisites: A statistics course (at the level of Statistics 252) and an introductory finance course (at the level of Bus. 342). Spreadsheet proficiency is a must. Please see me after class if you don't meet the requirements.

COURSE MATERIALS:

GRADING:

Homework: There will be 2 homework sets (40% of grade). The due dates will be announced when the homework is handed out or placed on the course home-page (http://cyrus.cob.calpoly.edu). To make life easy on the grader, homework presentation should conform to a set of rules. The homework are substantial. Don't wait till the day before they are due! The homework would require less effort provided that you attend class, keep up with the readings and try your hands at the problems (using your calculator or computer software). You are encouraged to discuss problems with classmates but there will be a high penalty to all parties involved for copying homework (you would be surprised how easy it is to catch folks who duplicate. Surely, they reveal themselves on the exams!). Late Homework Will Not Be Accepted!

Exams: Two midterm and a final exam will be given. The first midterm will be at the end of the first week of class covering time value of money handout and materials in chapters 1 through 4 (10% of grade). The second midterm will be around the middle of the term covering the materials on mean-variance model and the CAPM (20% of grade). Final (20% of grade) will cover all course materials (you should have no problem on exams if you go for perfection on the homework and read). The format of exams will be problems, definitions, and multiple choice questions. All grading will be on the curve (i.e., your performance will be measured relative to others in the class).

No make-up exams will be given without prior consent of instructor and documentation to show why exam cannot be taken at the scheduled time. Exams are closed book.

Class Participation and Attendance: 10% of your grade will be determined by attendance and class participation. I will take roll and expect to know your names and have informal discussions with all of you during the term (I am told I have a good sense of humor. Remains to be seen!). Don't hesitate to point out anything that is annoying you about the class.

Overall Course Grade will be determined as follows:

Total-Score= .1 x Attendance + .1 x Midterm1 + .2 x Midterm2 + .4 x Homework + .2 x Final

Since attendance, midterm, homework, and final will have a 100 points each, the total score will be between 0-100 points. For example, suppose a student receives 90 for attendance, 70 for each midterm, 80 for homework, and 90 for final. Then his/her total score will be:

Total-Score = .1 x 90 + .3 x 70 + .4 x 80 + .2 x 90 = 80

A distribution will be constructed from everyone's total score. The course grade will begin at F (total score below 50) and go up.

It is recommended that reading assignments (particularly from the text book) be done prior to lectures. Calendar of topics and assignments will be posted on the course home-page (http://cyrus.cob.calpoly.edu) and will be mailed to you weekly.

Classroom Civility: I expect students to avoid arriving late or leaving class early; cell phones going off in class; bicycles in the classroom; packing up disruptively before the class is dismissed; eating in class; sleeping in class; reading newspapers or surfing the internet while I lecture; chatting with neighbors, or other forms of disruptive behavior.