Portfolio Management



This course will discuss the issue related to modern portfolio theories. It covers the discussions about the characteristics and analysis of individual securities, as well as with the theory and practice of creating portfolios. Markowitz in the 1950s published seminal articles and a book on portfolio theory. His work provided a way to methodologically deal with security risk and return. Subsequently, the original Capital Asset Pricing Model was developed by Sharpe along with Lintner and Mossin in the 1960s. later, in the 1970s, Black and Scholes published articles on the pricing of options. With this array of theories, it is now possible to approach the field of investments in a rigorous manner.

Based on those theories, this course will deal with an understanding of the investment environment, instruments and process. The investment environment includes the kinds of marketable securities that exist where securities can be bought and sold. The investment instruments discussed are bonds, stocks, and other assets such as options. The investment process concerned with certain decisions an investor has to make. The decisions concern how much to invest and when to make the investment.


Upon completion of this course, the student should be able to:

  1. Understand the concept of investment.
  2. Understand the concept of investing in stocks, bonds, and as well as a portfolio.
  3. Construct and optimal portfolio.
  4. Evaluate the performance of a given portfolio.


  • Bodie, Z., Kane. A., and Marcus, A.J. (2015). Investment, 9th Edition. McGraw-Hill/Irwin. (BKM)


  • Additional materials will be distributed during the sessions.


This method is a particular type of learning methods under the student-centered learning (SCL) paradigm. In this approach, students are active learners to find and construct their own knowledge. The instructor serves only as a facilitator to help students achieve learning objectives and develop interpersonal skills. The class time will be devoted to discuss any concepts, materials, and or issues in the subject.


  1. Mid-term Exam (25%)
  2. Final Exam (25%)
  3. Presentation, Discussion, Participation (30%)
  4. Assignment and Quiz (20%)


The course Portfolio Management weighs 3 credit units which is held in 14 sessions of lectures and 2 sessions of exams @ 150 minutes for regular class and 12 sessions of lectures and 2 sessions of exams @ 180 minutes for the executive class.

Session Topic Reading Materials
1 Overview & Understanding Investment BKM (Ch. 1)
2 Understanding Investment (cont’d) BKM (Ch. 2, 4)
3 Security markets BKM (Ch. 3)
4 Common stock valuation and analysis BKM (Ch. 17,18,19)
5 Return and risk for individual asset BKM (Ch. 5)
6 Return and risk for portfolio asset BKM (Ch. 6)
7 Portfolio selection BKM (Ch. 7)
Mid-Term Exam
8 Single Index Model, CAPM, APT BKM (Ch. 8, 9, 10)
9 CAPM & APT BKM (Ch. 9, 10)
10 Market Efficiency BKM (Ch. 11, 12, 13 )
11 Bond BKM Part IV
12 Option, future, swap BKM Part VI
13 Portfolio management and evaluation BKM (Ch. 24)
14 Other issues / topics TBA
Final Exam