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Carroll Graduate School of Management
MF 803: Portfolio Theory
Spring Semester 2009
Monday, 7:00 PM – 9:30 PM Professor: David Chapman
Fulton 230 Office: Fulton 326B
Office Hours: Monday, 5:00 PM – 6:30 PM Phone: (617) 552-3989
Fax: (617) 552-0431
E-mail: david.chapman@bc.edu
Web: http://www2.bc.edu/~chapmadb
Course Description
This course provides a detailed introduction to quantitative portfolio management techniques. The first part of the course provides a brief review of basic pricing models. We then examine alpha models and basic valuation, as applied to quantitative portfolio construction. Given alpha models, we discuss portfolio optimization techniques, the effects of portfolio constraints, and implementation issues. The concepts in the course will be examined through lecture, class discussion, cases, and homework assignments.
Texts
There is no required text for the class. If you would prefer some supporting texts, I would recommend either (or both) of
Active Portfolio Management, 2nd Edition, by Richard C. Grinold and Ronald N. Kahn, McGraw-Hill, 2000.
Modern Investment Management: An Equilibrium Approach, by Bob Litterman and the Quantitative Resources Group at Goldman Sachs Asset Management. John Wiley & Sons, 2003.
These books are available on Amazon.com (or likely on your favorite online bookseller). You might also find it useful to review basic concepts at different points in the class in: Investments, 7/E, by Zvi Bodie, Alex Kane, and Alan J. Marcus. McGraw-Hill Irwin, 2008.
Finally, I strongly recommend that you read the financial press on a regular basis, including (but not limited to) The Wall Street Journal, Financial Times, Business Week, and The Economist. Class participation credit will be awarded for students who suggest relevant articles in these publications to me to bring to the attention of the class.
Assignments and Grading
Your overall course grade will be constructed as follows:
First Exam: 40%
Second Exam: 40%
Homework Assignments/Projects/Class Participation: 20%
The exams are closed book and closed notes. Your homework assignments and project work may be done in groups of up to three people.
Course Communication
Outside of class, the primary mechanism for communicating important course related material will be the course web page, located at http://www2.bc.edu/~chapmadb/mf803.htm. Copyright protected and other potentially sensitive documents will be available on a restricted access version of the web page. Students registered for the course will be given the username and password that allows access to the restricted material. Office hours are posted on my door (and at the top of this syllabus), and I will always be available to talk to you at that time. I can also meet with you by appointment, which can be arranged either before or after class, by e-mail, or by phone. It is also my intention to post either podcasts or, at least, taped files of the class meetings, although I have not used this technology before and there may be some “growing pains”.
Requests for Accommodations
If you have a disability and will be requesting accommodations for this course, please register with Kathy Duggan [kathleen.duggan@bc.edu], Associate Director, Academic Support Services, The Connors Family Learning Center (learning disabilities and ADHD) or Suzy Conway [suzy.conway.1@bc.edu], Assistant Dean for Students with Disabilities (all other disabilities). Advance notice and appropriate documentation are required for accommodations.
For additional information, please see the course syllabus [Last Updated: 03-28-2009 @ 12:20 pm].
Please check out the restricted access page
for important class announcements.
Restricted Access Course Page [Last Updated: 04-28-2009 @ 11:45 am].