D] Syllabus:

Subject: Security Analysis and Portfolio Management Marks: 100

1.      Risk And Return          Simple determination of stock market price using time value of money - simple one period and multi period case.          Return on common stock under uncertainty, for a single stock Expected Return, Variance of Return, Concept of probability Distribution of Returns.          Co-movement of two Assets returns, Measuring of Covariance definition and Simple Numerical Example, Correlation Coefficient          Two asset portfolio case, expected return and variance of returns of a Two asset Portfolio Simple Numerical Example and Graphical Illustration          Diversification of Risk, Systematic and Unsystematic risk

  2.      MODERN PORTFOLIO THEORY

   General N-asset Portfolio Problem, Marches Model: Objectives Function and Constraints, Meaning of Efficient Frontier / Set, Concept of CML (Capital Market Line), Concept of Market Portfolio, Risk Free rate, Borrowing and Lending rates.

  3.      SHARP'S SINGLE INDEX OR MARKET MODEL:

   How Asset Returns move with the market.    Slope of security Market Line (SML)    Properties of any asset on the line.    Assumptions and some empirical evidence of CAPM    Arbitrage pricing theory - Introduction

  4.      CAPITAL ASSET PRICING MODEL:

   Statement of CAPM.    Slope of security Market Line (SML)    Properties of any asset on the line.    Assumptions and some empirical evidence of CAPM    Arbitrage pricing theory - Introduction

  5.      EFFICIENT MARKET HYPOTHESIS (EMH) :

   Random walk theory    Weak, Semi-Strong and Strong form    Empirical Evidence of EMH    Anomalies in the markets: Firm Size Effect, January Effect, Monday Effect.

  6.      PORTFOLIO PERFORMANCE MEASURES

   Sharp Index          Treynor Index

   Jensen's Measure             Empirical Test of Mutual Fund Performance & EMH

  Reference Text:

  1. Security Analysis and Portfolio Management (6th Edn.) By Donald Fischer and Ronald

Jordan,  Prentice Hall of India (1995)2. Securities Analysis and Portfolio Management ,  Prasanna Chandra, Tata McGraw Hill

(2002 )

E)Time Table.

Lecture No.

Topic Duration

1. Introduction-What is SAPM? Evolution-Financial Revolutions and its Protoganists. Time Value of money. Risk and Return- Types of Return and Risk, Calculation of Risk and Return, Expected Return Variance and Return Probability Distribution of Returns

3 Hrs.

2. Simple determination of stock market price using time value of money- simple one period and multi-period case

3 Hrs.

3. Two asset portfolio case: Modern Portfolio Theory- General N- asset Portfolio problem

3 Hrs.

4. Meaning of Efficient Frontier, Concept of Capital Market Line, Concept of Market Portfolio, Risk free rate, Borrowing and Lending Rates

3 Hrs.

5. Sharp’s Single Index Market Model, How Asset Returns move with the market, Slope of security Market Line (SML), Properties of any asset on the line.

3 Hrs.

6. Sharp’s Single Index Market Model, Assumptions and some empirical evidence of CAPM, Arbitrage pricing theory - Introduction

3 Hrs.

7. Efficient Market Hypothesis, Random walk theory, Weak, Semi-Strong and Strong form

3 Hrs.

8. Empirical Evidence of EMH, Anomalies in the markets: Firm Size 3 Hrs.

Effect, January Effect, Monday Effect.

9. Portfolio Performance Measures: Sharp Index, Treynor Index

Jensen's Measure, Empirical Test of Mutual Fund Performance & EMH

3 Hrs.

10. Internal Assessment Test 3 Hrs.

Internal Assessment.

Assignment and Test – 30 Marks

Attendance - 10 Marks

Final Assessment - 60 Marks