INDIAN INSTITUTE OF MANAGEMENT KOZHIKODE

Post Graduate Programme 2013-15

Course Title
Instructor
Course credit
No. of sessions
Session Duration
Term
Year

Investment Analysis and Portfolio Management

L. Ramprasath
3
15
120 minutes
V
PGP-II, 2014-15

1. Introduction
In the past several decades, the field of investment analysis has evolved from a
descriptive process to a highly formalized and quantitative area of study. The rapidly
changing financial environment and the number of new instruments available have made
analysis a task which can only be carried out by persons who have been equipped with
updated skills. This course provides the basic framework that can be used for creating,
managing and evaluating portfolios. Topics include recognizing risk and return
characteristics of investments, developing strategic asset allocations, utilizing options to
manage portfolio risk and evaluating portfolio and manager performance relative to
investment objectives and appropriate benchmarks.
2. Objectives and scope
Broadly, the course covers
Risk- return trade offs
Optimal portfolio selection
Asset Pricing Models
Market Efficiency and its implications
Design, Management and Evaluation of Portfolios of Securities
3. Reading Material
(a) Text Book: (BKM) Investments and Portfolio Management: 9th Edition by Zvi Bodie,
Alex Kane and Alan J. Marcus (Paperback Global Edition)
(b) Other Reference Books:
1. Elton etal : Modern Portfolio Theory and Investment Analysis (2007): 7th Edition:
Wiley India
2. Peter L. Bernstein: Capital Ideas: The Improbable Origins of Modern Wall
Street(2005) John Wiley and Sons

4. Evaluation Scheme
Components
Quizzes/Class participation
Mid Term Exam
End Term Exam

Weightage(%)
15%
35%
50%

5. Session Plan
Tentative#
sessions
1

Topic
Roadmap; Risk versus Return

Readings
BKM Chapters
6

Portfolio Theory: Mean Variance analysis;

Efficient frontier; Effects of diversification

Asset Pricing Models: Capital Market Line

(CML) and the Security Market Line (SML);
CAPM Extensions, Testing, Limitations;
Arbitrage Pricing Theory; Equilibrium models
and Portfolio management
Efficient Market Hypothesis (EMH); Forms of
market efficiencies; Portfolio management vs
EMH; Challenges in testing EMH

8, 9, 10

11

Valuation Models: A review; Minimizing bias;

Valuation and portfolio management
Portfolio Management Tools: Use of
Derivatives; Modifying the risk return
characteristics of a portfolio
Portfolio Performance Management:
Challenges in measuring returns; Risk-adjusted
return measures; Manipulation-proof
performance measure

Active Portfolio Management

Some recent topics

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17, 18, 19

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