Food Engineering (English) | |||||
Bachelor | TR-NQF-HE: Level 6 | QF-EHEA: First Cycle | EQF-LLL: Level 6 |
Course Code: | FNS304 | ||||||||
Course Name: | Investment and Portfolio Management | ||||||||
Course Semester: | Fall | ||||||||
Course Credits: |
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Language of instruction: | TR | ||||||||
Course Requisites: | |||||||||
Does the Course Require Work Experience?: | No | ||||||||
Type of course: | Compulsory | ||||||||
Course Level: |
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Mode of Delivery: | Face to face | ||||||||
Course Coordinator : | Dr.Öğr.Üyesi TURGAY MÜNYAS | ||||||||
Course Lecturer(s): |
Dr.Öğr.Üyesi TURGAY MÜNYAS |
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Course Assistants: |
Course Objectives: | The objective of this course is to introduce the specifics of investment environment; overview of financial instruments; security trading; initial public offerings; market orders; buying on margin; short sales; investment companies; open-end funds; closed-end funds; risk and return; risk premium; risk aversion; capital allocation line; portfolios of risky and risk-free assets; the capital market line; optimal risky portfolios; diversification; portfolios of two risky assets; minimum variance portfolio; the Markowitz portfolio selection; capital asset pricing model; arbitrage pricing theory; factor models; market efficiency; simulation application. |
Course Content: | Investment environment; overview of financial instruments; security trading; initial public offerings; market orders; buying on margin; short sales; investment companies; open-end funds; closed-end funds; risk and return; risk premium; risk aversion; capital allocation line; portfolios of risky and risk-free assets; the capital market line; optimal risky portfolios; diversification; portfolios of two risky assets; minimum variance portfolio; the Markowitz portfolio selection; capital asset pricing model; arbitrage pricing theory; factor models; market efficiency; simulation application. |
The students who have succeeded in this course;
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Week | Subject | Related Preparation |
1) | Introduction of the course • Realization of real and financial assets • Understanding the relationship between financial markets and economy • Explaining the basic features of money markets • Explanation of key features of bond markets • Explanation of the basic features of stock markets • Discussion of stock and bond market indices • Explanation of basic features of derivatives markets • syllabus • Presentation of financial markets • Discussion of consumption timing, risk allocation, ownership and management separation, corporate governance and corporate ethics issues within the framework of investments • Discussion of the money markets and bond markets • Explanation of options and futures contracts. | None |
2) | • Analysis of the Markowitz Portfolio Model • Optimal portfolio and normal non-distributed returns • Risk pool and risk sharing in long-term investments • Illustrative example of effective diversification • Classification of portfolio statistics • Analysis of the smallest variant limit of risky assets • Analysis of the effective limit of risky assets • Creating the smallest variance portfolio • Discussing the power of diversification in portfolio strategies • Portfolio statistics | Review of the course. |
3) | • Explaining the relationship between diversification and portfolio risk • Explanation of portfolios consisting of two risky asset groups • Explanation of portfolios with the smallest variance • Discussion of asset allocation within the framework of stock, bond and treasury bill options • Defining the Markowitz Portfolio Model • Systematic and non-systematic risk • Elimination of non-systematic risk through asset diversification • Investigation of the correlation between portfolio debt-capital instruments • Relationship between investment weights and yield • Creation and analysis of the portfolio with the smallest variance • Discussion of the smallest variance limit | Review of the course. |
4) | Explaining the concepts of risk and risk avoidance • Identification of risk-free assets • Explanation of capital allocation to risk-free and risk-free (government bonds only) • Explanation of the capital allocation line • The difference between the concepts of risk, speculation and gambling • To explain the concept of risk avoidance within the framework of benefit analysis • Distinguishing risk-avoiding, risk-loving and risk-neutral communities. • Average-variance criterion and portfolio indeterminate curve • Elements of risky portfolio • Content and discussion of the concept of risk-free assets. • Investment opportunities in portfolios of risk free assets (asset groups) at a risk • Identify the effect of borrowing and lending rates on the capital allocation curve. | Review of the course. |
5) | Explaining the share supply. • Explanation of securities trading transactions • Understanding the structural differences of financial markets in different countries • Explaining the types of investment trusts • Explaining the properties of investment funds • Discussion on investment banking and public offering • Stock market orders (market orders / conditional orders) • Mechanism of stock transactions • Comparison of various stock markets in the world. • Border / margin purchase and short sales. | Discussion of views. Lecture. |
5) | • Explaining the relationship between risk and asset allocation (portfolio allocation) • Passive strategies: Capital Market Line • St. Explaining the St. Petersburg Paradox • Explaining the expected benefit function • Benefit from benefit maximization for capital allocation to risky assets • Capital allocation to risky assets for various degrees of risk aversion • The relationship between the St.Petersburg Paradox and the expected benefit function • Implications for the passive portfolio strategy | Review of the course. |
6) | • Explaining the relationship between diversification and portfolio risk • Explanation of portfolios consisting of two risky asset groups • Explanation of portfolios with the smallest variance • Discussion of asset allocation within the framework of stock, bond and treasury bill options • Defining the Markowitz Portfolio Model • Systematic and non-systematic risk • Elimination of non-systematic risk through asset diversification • Investigation of the correlation between portfolio debt-capital instruments • Relationship between investment weights and yield • Creation and analysis of the portfolio with the smallest variance • Discussion of the smallest variance limit | Review of the course. |
7) | • Explanation of determining the level of interest • Comparison of returns on different investment periods • Explaining the concepts of risk and risk premium • Time series analysis of historical returns • Inferences and risk measurement to ensure that returns are not normally distributed • Comparison of historical returns of various portfolios (stocks, long-term bonds, etc.). • Distinction of real and nominal interest rates • Relation between tax rates and real returns • The relationship between annual compound interest and continuous compound interest • Differences between return on investment, expected return, standard deviation, excess return and risk premium. • Comparison and analysis of historical returns. | Review of the course. |
8) | Midterm Post-exam responses (depending on time). | None |
9) | Explanation of single factor model • Explaining the relationship between normal distribution and systemic risk • Definition of single index model • Estimation of alpha and beta coefficients • Creation of a Single-Index Model correlation matrix • Elements of the Markowitz Model • Single-factor model equation • Single-Index Model regression equation • Discussion of Single-Index Model and risk-covariance relationship | Review of the course. |
10) | Single-Index Model and portfolio creation • Index Portfolio and investment assets analysis • Discussing pptimum risky portfolio within the framework of Single-Index Model • Explanation of sector application in index models • Alpha coefficient and securities analysis • Creating an optimal risk portfolio • edited beta coefficient • Evaluation of index models | Review of the course |
11) | Explanation of Capital Asset Pricing Model (SVFM) • Comparison of SVFM and Index-Model • Discussing the applicability of SVMF • Explanation of various SVMF models • Explanation of the relationship between liquidity and SVMF model • Marketable securities market • SVMF: Actual and expected returns • Index model: Actual and expected returns • Empirical findings for SVMF | Review of the course |
12) | Explanation of multi-factor models • Explain the Arbitrage Pricing Model (AFM) • Explanation of the relationship between individual assets and AFM model • Definition of multi-factor AFM • Comparison of multi-factor SVMF and AFM • Multi-factor models • Equity allocation in multi-factor models • Arbitrage and risk arbitrage • Comparison of SVMF and APT • Fama-French 3 factor model | Dersin tekrarı. |
13) | • Explanation of random walking • Explaining the Effective Market Hypothesis (EPH) • Expression of tests (weak and strong) for market activity • Fund management and market efficiency • Effective Market Hypothesis • Empirical implications for EPH • Active and passive portfolio management within the framework of EPH • Debate analysts, discussion of EPH within the framework of fund managers | Review of the course. |
14) | Course Review | None |
15) | Evaluation of the students by final exam | None |
Course Notes / Textbooks: | INVESTMENTS Zvi Bodie-Alex Kane-Alan J. Marcus, 9th ed., 2011 ISBN 978-0-07-353070-0 |
References: | INVESTMENTS Zvi Bodie-Alex Kane-Alan J. Marcus, 9th ed., 2011 ISBN 978-0-07-353070-0 |
Learning Outcomes | 1 |
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Program Outcomes | ||||||||||||||||||||||
1) Has sufficient background in mathematics, science and engineering related fields. | ||||||||||||||||||||||
2) Uses the theoretical and practical knowledge in mathematics, science and their fields together for engineering solutions. | ||||||||||||||||||||||
3) Identifies, formulates and solves engineering problems, selects and applies appropriate analytical methods and modeling techniques for this purpose. | ||||||||||||||||||||||
4) Analyze a system, system component or process and design it under realistic constraints to meet desired requirements; apply modern design methods accordingly. | ||||||||||||||||||||||
5) Selects and uses the modern techniques and tools necessary for engineering applications. | ||||||||||||||||||||||
6) Design experiments, conduct experiments, collect data, analyze and interpret results. | ||||||||||||||||||||||
7) Works individually and in multi-disciplinary teams. | ||||||||||||||||||||||
8) Accesses information and conducts resource research for this purpose, uses databases and other information sources. | ||||||||||||||||||||||
9) Accesses information and conducts resource research for this purpose, uses databases and other information sources. | ||||||||||||||||||||||
10) Accesses information and conducts resource research for this purpose, uses databases and other information sources. | ||||||||||||||||||||||
11) Uses the theoretical and practical knowledge in mathematics, science and their fields together for engineering solutions. | ||||||||||||||||||||||
12) Identifies, formulates and solves engineering problems, selects and applies appropriate analytical methods and modeling techniques for this purpose. | ||||||||||||||||||||||
13) Analyze a system, system component or process and design it under realistic constraints to meet desired requirements; apply modern design methods accordingly. | ||||||||||||||||||||||
14) Selects and uses the modern techniques and tools necessary for engineering applications. | ||||||||||||||||||||||
15) Works individually and in multi-disciplinary teams | ||||||||||||||||||||||
16) Uses information and communication technologies together with computer software required by the field at least Advanced Level of European Computer Skills License. | ||||||||||||||||||||||
17) Communicate effectively verbally and in writing; use a foreign language at least at level B1 of the European Language Portfolio. | ||||||||||||||||||||||
18) Communicates using technical drawing. | ||||||||||||||||||||||
19) Accesses information and conducts resource research for this purpose, uses databases and other information sources. | ||||||||||||||||||||||
20) Becomes aware of the universal and social effects of engineering solutions and applications; entrepreneurship and innovation and have knowledge about the problems of the age. | ||||||||||||||||||||||
21) Has professional and ethical responsibility. | ||||||||||||||||||||||
22) Have awareness of project management, workplace practices, employee health, environmental and occupational safety; the legal consequences of engineering applications. | ||||||||||||||||||||||
23) Demonstrates awareness of the universal and social impact of engineering solutions and applications; is aware of entrepreneurship and innovation and has knowledge about the problems of the age. |
No Effect | 1 Lowest | 2 Low | 3 Average | 4 High | 5 Highest |
Program Outcomes | Level of Contribution | |
1) | Has sufficient background in mathematics, science and engineering related fields. | |
2) | Uses the theoretical and practical knowledge in mathematics, science and their fields together for engineering solutions. | |
3) | Identifies, formulates and solves engineering problems, selects and applies appropriate analytical methods and modeling techniques for this purpose. | |
4) | Analyze a system, system component or process and design it under realistic constraints to meet desired requirements; apply modern design methods accordingly. | |
5) | Selects and uses the modern techniques and tools necessary for engineering applications. | |
6) | Design experiments, conduct experiments, collect data, analyze and interpret results. | |
7) | Works individually and in multi-disciplinary teams. | |
8) | Accesses information and conducts resource research for this purpose, uses databases and other information sources. | |
9) | Accesses information and conducts resource research for this purpose, uses databases and other information sources. | |
10) | Accesses information and conducts resource research for this purpose, uses databases and other information sources. | |
11) | Uses the theoretical and practical knowledge in mathematics, science and their fields together for engineering solutions. | |
12) | Identifies, formulates and solves engineering problems, selects and applies appropriate analytical methods and modeling techniques for this purpose. | |
13) | Analyze a system, system component or process and design it under realistic constraints to meet desired requirements; apply modern design methods accordingly. | |
14) | Selects and uses the modern techniques and tools necessary for engineering applications. | |
15) | Works individually and in multi-disciplinary teams | |
16) | Uses information and communication technologies together with computer software required by the field at least Advanced Level of European Computer Skills License. | |
17) | Communicate effectively verbally and in writing; use a foreign language at least at level B1 of the European Language Portfolio. | |
18) | Communicates using technical drawing. | |
19) | Accesses information and conducts resource research for this purpose, uses databases and other information sources. | |
20) | Becomes aware of the universal and social effects of engineering solutions and applications; entrepreneurship and innovation and have knowledge about the problems of the age. | |
21) | Has professional and ethical responsibility. | |
22) | Have awareness of project management, workplace practices, employee health, environmental and occupational safety; the legal consequences of engineering applications. | |
23) | Demonstrates awareness of the universal and social impact of engineering solutions and applications; is aware of entrepreneurship and innovation and has knowledge about the problems of the age. |
Expression | |
Individual study and homework | |
Lesson | |
Group study and homework | |
Homework | |
Project preparation |
Written Exam (Open-ended questions, multiple choice, true-false, matching, fill in the blanks, sequencing) | |
Oral Examination | |
Homework |
Semester Requirements | Number of Activities | Level of Contribution |
Midterms | 1 | % 40 |
Final | 1 | % 60 |
total | % 100 | |
PERCENTAGE OF SEMESTER WORK | % 40 | |
PERCENTAGE OF FINAL WORK | % 60 | |
total | % 100 |
Activities | Number of Activities | Workload |
Course Hours | 16 | 48 |
Study Hours Out of Class | 1 | 6 |
Homework Assignments | 4 | 8 |
Midterms | 15 | 45 |
Final | 15 | 64 |
Total Workload | 171 |