ICFAI University - Portfolio Management – I

 Portfolio Management – I

Introduction to Portfolio Management: Meaning of Investment – Necessity of Investment Policy – Inputs to a Policy Statement – Investment Motives – Risks in Investment – Need for Portfolio Management – The Portfolio Management Process.

Investment Policy: Different Types of Investors, their Needs and Weaknesses – Implementing Investment Strategies – Investment Objectives and Constraints of Different Types of Investors – Psychology of Risk – Significance of Behavioral Finance – Individual Investors – Institutional Investors – Drivers of Investment Policies – Setting Objectives for the Institutional Investors – Investment Policies of the Institutional Investors – Investment Management Mandate.

Capital Market Expectations: Forecasting the Capital Market Environment – Macroeconomic Variables Affecting Capital Market Expectations – Short-Term Forecasting Techniques – Impact of Inflation – Nature of an Effective Forecast.

Asset Allocation: Policies and Procedures: Asset Allocation Process – Types of Asset Allocation – Asset Allocation – Management Style – Different Approaches to Asset Allocation Decision – Various Asset Allocation Techniques.

Capital Market Theory: Markowitz Model and Efficiency Frontier – Evolution of Capital Asset Pricing Model – Dominant Portfolio – Separation Theorem – Capital Market Line – CAPM – Security Market Line – Non-Standard Forms of CAPM – Application of CML and CAPM.

Arbitrage Pricing Theory: Arbitrage Pricing Model – Arbitrage Mechanism – Empirical Tests of APT – Comparison of CAPM and APT – Applications of APT.

Portfolio Analysis: Components of Risk and Return – Systematic and Unsystematic Risk – Beta of a Portfolio – Portfolio Diversification – Marginal Productivity of Incremental Assets – Perils of Excessive Diversification.

Optimal Portfolio Selection: Concept of Indifference Curves – Efficient Set Theorem – Optimal Portfolio Selection.

Other Portfolio Selection Models: Investor Preference Functions – Economic Properties of Utility Functions – Applicability of the Utility Functions – Alternative Models of Portfolio Selection.

Portfolio Revision: Need and Importance of Portfolio Revision – Pitfalls to be Avoided in Portfolio Revision – Portfolio Revision Techniques – Practical Problems in Portfolio Revision – Selection and Revision of Equity Portfolios.

Measuring and Evaluating Portfolio Performance: Meaning and Importance of Portfolio Performance Measurement – Measures of Return – Buying the Index Approach – Linking Jensen’s Alpha and Fama’s Total Selectivity  – Performance Attribution Analysis – Monitoring Influence of Asset Allocation Decisions – Performance Evaluation of the Portfolio Manager – Evaluating Asset Class Managers – Performance Evaluation when Options are included in a Portfolio.

Equity Portfolio Management: Efficient Market Hypothesis – Passive vs. Active Management Strategies – Types of Passive Portfolios – Active Management Styles and Strategies – Combining Active and Passive Styles – Factor-Based Approach – Equity Style Management – Book Value/Market Value Ratio.