Portfolio Management and Mutual Funds
Program : MBA
Credit :3
Course Code : SL FI 609
Objective
The course aims at providing students with an understanding of portfolio construction and management in the
context of risk diversification. Further, the course aims at providing students with skills to make intelligent
decisions regarding the allocation of resources and the formation of optimal portfolios. It also aims to highlight the
role of mutual funds and their structure.
REFERENCE BOOKS
Modern Portfolio Theory and Investments
Analysis
Portfolio Management Mutual Funds
Security Analysis and Portfolio Management.
6th e
Investment Analysis and Management, 6th e
Fundamentals of Investment
Intelligent Stock Market Investing
Portfolio Management: Theory &
Applications, 2nd e
Stock Exchange and Investments
Mastering Mutual Funds
Essentials of Investments, 3rd e
Detailed Syllabus
Introduction to Portfolio Management: The
Investment Process - Definition of Investments -
Investment Categories. Defining Investment
Objectives - Risk and Investor Preferences -
Investment Constraints - Investment Goals and
Constraints for Institutional Investor.
Asset Allocation :Process, types of asset allocation,
management style, different approaches to allocation
decision, and overview of allocation techniques.
Capital Market Theory: The Capital Asset Pricing
Model - Security Market Line - Applications of the
Security Market Line - Ex-Post and Ex-ante SMLs -
Non Standard Forms of CAPM - Zero-Beta CAPM -
Tax Adjusted CAPM - Empirical Evidence of Capital
Asset Pricing Model - Arbitrage Pricing Theory.
Portfolio Analysis: Diversification, Portfolio Risk
and Return - Single-Index Model - The Sharpe Index
Class of : 2011
Sessions : 33
AUTHOR / PUBLICATION
Elton, E.J, Gruber M.J – Wiley India Ltd
IUP
Fischer, Donald E / Jordan, Ronald J. Prentice-
Hall, India
Sharpe et al. Prentice Hall India - 1998
Hirt, Geoffrey A / Block, Stanley.
Irwin/McGraw-Hill
Yasaswy, N J. Vision Books Pvt. Ltd - 2008
Farrell, James L. Irwin/McGraw-Hill
Raghunathan, V. Tata McGraw-Hill
Kulshreshtha, C M. Vision Books Pvt. Ltd.
Bodie, Zvi et al. Irwin/McGraw-Hill
Model - Portfolio Beta - Generating the Efficient
Frontier.
Portfolio Selection:. Markowitz Risk-return
Optimization, concept of utility , Sharpe optimization
model - Other portfolio selection models- Geometric
Mean Model, Safety First Model and Stochastic
Dominance Model.
Portfolio Revision: Portfolio Rebalancing, Portfolio
Upgrading, Investment Timing, Formula Plans:
Constant Dollar Value Plan, Constant Ratio Plan,
Variable Ratio Plan, Selection and Revision of
Equity Portfolios.
Bond Portfolio Management Strategies: Passive
Strategy - Duration Shift and Immunization - Semi-
Active Strategy - Active Strategies.
Equity Portfolio Management Strategies: Efficient
Market Hypothesis - Passive vs Active Management
Strategies - Types of Passive Portfolios: Index Funds
- Customized Funds - Factor/Style Funds - Styles of
Active Management - Active Management Strategies: funds, private equity, hedge funds, arbitrage funds
Top Down - Bottom-up - Combining Active and etc.
Passive - Active/Core Portfolios - Active/
Completeness Fund Portfolios. Cases
Derivatives Trading in India
Managed Portfolios and Performance
Measurement: Classification of Managed Portfolios A Note on Investment Strategies
and Typical Examples - Advantages of Managed Involving Options
Portfolios - Management Performance Evaluation - A Note on Currency and Index
Methods for Calculating Rate of Return: Money
Weighted Rate of Return - Time Weighted Rate of Futures Buyback of Shares and MNCs
Return - Linked Internal Rate of Return - Buying the Source: Case Studies in Finance Volume IV
Index Approach - Components of Investment
Performance - Market Timing Issues in Risk Suggested Schedule of Session
Adjusted Performance Measures - Sharpe’s -
Treynor’s - Jensen’s performance Measure for
No. of
Topic
Portfolios. Sessions
Introduction to Portfolio Management & 2
Investment Strategies Using Options: Elementary Asset Allocation
Inventory Strategies - Complex Investment
Strategies: Covered Call Writing - Protective Put - Capital Market Theory 3
Straddles and Strangles – Spreads - Evaluation of Portfolio Analysis 2
Option Based Investment Strategies - Risk Portfolio Selection 4
Associated with Options.
Portfolio Revision 2
Applications of Index Futures in Portfolio Bond Portfolio Management Strategies 4
Management: Pricing of Index Futures Contracts -
Stock Index Arbitrage -Applications of Index Futures Equity Portfolio Management 2
- Beta Management. Managed Portfolios and Performance 3
Portfolio Management Schemes: Types of Portfolio Measurement
Management Schemes - Features of Portfolio Investment Strategies Using Options 2
Management Schemes - SEBI Guidelines on
Portfolio Management. Applications of Index Futures in 2
Portfolio Management
Mutual Funds: The Evolution of Mutual Funds - Portfolio Management Schemes 1
Regulation of Mutual Funds - Organization Structure
- Mutual Funds in India - Authority for Decision Mutual Funds 2
Making. Design and Marketing of Mutual Fund 2
Design and Marketing of Mutual Fund Schemes: Schemes
Performance Evaluation - Analysis and Tax Current Developments 2
Treatment of Mutual Fund Schemes. Total 33
Current Developments: To cover trends in
pension