Hi Everyone,

Attached please find the syllabus for the class. Since our class duration is only for 3 weeks, it is

very important that we are well prepared before the class begins. I will start teaching

immediately on the first day of class after explaining the syllabus.

I strongly recommend that you (or a classmate that you will sit next to in class) bring a laptop to

every class meeting. The laptop must have a Windows version of Microsoft Excel 2007, 2010 or

2013. I will lecture using my Class Notes. We will have in-class exercises using the laptops with

Excel programming and spreadsheets associated with these Class Notes.

Preparation checklists before our class begins are as follows:

____1. Go to my class website as shown on Page 2 of the syllabus.

____2. Right click" and "save as" class materials, which are grouped in folders and in zip file

formats, onto your laptop.

____3. Unzip these folders on your laptop so that you are ready for in-class exercise and Excel

programming. Please make sure that all folders are on your laptop: Class Notes Sets 0.5 through

5 and Homework Assignments 1 through 8.

____4. Go to each Class Notes folder and print all of the Class Notes. You will need Class

Notes in hardcopies for my lecture. Particularly, Class Notes Sets 0.5 and 1 are needed on the

first day of class.

____5. Bring Class Notes in hardcopies and the laptop that has the above folders to class.

____6. I also strongly encourage you to do the presetting of your laptop based on items in

Class Notes Set 0.5 before class. This presetting will ensure that your Excel will run smoothly

without glitches. I will go over presetting items with you in class. However, doing so before

class will help us save time and minimize confusion since I will have to guide all of you in class

at the same time.

Please send me an e-mail if you have any question, especially about presetting items. I will

respond as quickly as I possibly can.

I look forward to seeing all of you.

Chanwit Phengpis, Ph.D.

Professor of Finance

California State University, Long Beach

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Syllabus

Security and Portfolio Analysis

Summer 2015

Instructor: Dr. Chanwit Phengpis

Email: pchanwit@yahoo.com

Office Hours: before and after class and by appointment

I. Course Description and Objective Three research-driven, practitioner-oriented topics in finance are explored: (1) Security Analysis,

(2) Portfolio Management and (3) Financial Modeling. The main objective of the course is for

students to learn a hands-on, computer-based approach to applying these topics to real-world

data as investors, financial analysts and equity fund managers.

II. Course Procedures A. Course Overview

The class is divided into four closely related segments that carefully address the topics in the

course objectives. In the first segment, risk-return measures and both simple and multiple

regressions used in financial research and modeling are introduced. The knowledge learned in

this segment will be used extensively in subsequent segments of the class. In the second

segment, the detailed step-by-step process in constructing the efficient frontier, optimal

portfolios, the Capital Allocation Line (CAL) and the Capital Market Line (CML) for risk-averse

investors is presented. The analysis will be extended to the case where short selling is restricted.

In the third segment, well-known pricing models for financial assets including the Capital Asset

Pricing Model (CAPM), Arbitrage Pricing Theory (APT) and Fama-French Factor Models are

discussed. Students are expected to be able to estimate the models and interpret results based on

real-world data. Market efficiency, its implications on security selection and portfolio

management, and samples of technical analysis are delineated in this segment as well. Finally, in

the fourth segment, various measures and techniques employed in security and portfolio

performance evaluation are explained and applied to data samples.

B. Class Conduct

My lecture is almost entirely based on the customized class notes and associated Excel spreadsheets which include conceptual explanations, examples, data sets and spreadsheet

programming codes and formulae. These class materials are downloadable at no cost from the

class website. I have compiled and prepared the class materials myself. I strongly believe you

will find them useful in learning and understanding security analysis, portfolio management and

financial modeling in great detail. Please note that various parts of the class notes are left blank

intentionally. Therefore, it is highly recommended that you write down my further explanations

and step-by-step computational processes provided in class to make the notes complete for your

exam preparation, homework assignments and future references. In addition, copies of extra

class materials may be posted on the class website, later discussed in class, and thus can be part

of exam questions.

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C. Course Materials and Resources

1. Required Financial Calculator: A financial calculator is required. Any model of financial

calculators will work. However, I personally use and strongly recommend an HP-10BII financial

calculator.

2. Recommended Textbook: Essentials of Investments, 8th or 9th Edition, by Bodie, Kane and

Marcus; McGraw-Hill/Irwin. You do not need this textbook to do well in this class because class

materials on the class website are certainly more than sufficient. However, you may decide to

purchase this textbook later (e.g., after the class completion) if you are strongly interested in the

topics covered and would like to explore them further in your spare time.

3. Class Website: http://chanwitphengpis.com where class notes, the associated Excel

spreadsheets, additional class materials and the most recent updates on the class can be obtained.

Do not come to class without having relevant class notes in hard copies ready or you will be lost

in class. To download the class materials:

1. Go to http://chanwitphengpis.com

2. Click on the link Security and Portfolio Analysis (NEU) 3. When a dialog box appears, type fin450 for username and neusu15 for password.

4. Click OK. This should bring you to a specific class page showing the list of class materials. Right click on selectable links, select Save Target As, and save the files to your desktop or C: drive.

D. Exams

There will be one mid-term exam and a final exam in class. Each exam will comprise questions

to which concise, legible and well-written answers are expected. You must show your work for

short-answer questions that require computations. While partial credit is possibly given to your

answers to the short-answer questions, its magnitude depends on the extent to which instructions

are followed and on the degree of relevancy of answers to the questions asked.

Final Exam

You will be required to take a non-cumulative final exam. The final exam will cover material

since the mid-term exam and will be on Friday June 19, 2015.

Other Exam Policies 1. The exams are closed-book and closed-note. However, a one-sided 8.5x11 note sheet containing whatever you want will be allowed for each exam.

2. You will need a financial calculator that does not allow text entry in the exams. The calculator

must be set to display four decimal places unless stated otherwise.

3. You are not allowed to share a calculator or note sheet.

E. Homework

Tentative homework assignments are already posted on the class website. I will select specific

homework assignments (out of those on the class website) and ask you to submit them as part of

your class grade. You may work alone or in a group of 3 persons at most for homework

submission.

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F. Mini Project

Requirements for a mini project are as follows:

1. You may work alone or in a group of 3 persons at most.

2. You must come up with the topic of the mini project yourself.

3. The project must use real-world data. A spreadsheet that allows you to download real-world

data will be provided earlier in the semester.

4. The project must be type-written and submitted in hard copies. You will also need to present

this project in class towards the end of the semester.

5. The project must include (and will be evaluated based on) the following components:

1. What is the main issue you would like to investigate? In other words, what is your main

research question?

2. What is the data set used?

3. What are the models/equations employed?

4. What are the results? You may want to include tables to present your results.

5. How do your results address the main issue or answer your main research question?

G. Grading

Your average class score is based on your performance on homework assignments, a mini

project, a mid-term exam and a final exam and computed using the following weights:

Homework Assignments 10%

Mini Project 10%

Mid-term Exam 40%

Final Exam 40%

Then, your letter grade for the class will be assigned to your average class score as follows:

A Average class score 90% B 80% Average class score < 90% C 70% Average class score < 80% D 60% Average class score < 70% F Average class score < 60%

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III. Course Outline Course outline may be changed with verbal notice in class, as needed. It is the students responsibility to attend class and keep up with any changes and announcements.

Notable Date Topic

Monday, June 1 Administrative Matters

Quantitative Analysis in Finance and Financial Modeling

Obtaining and Working with Real-World Data

Risk and Risk Aversion

Capital Allocation between the Risky Asset and the Risk-Free Asset

Optimal Risky Portfolios

Construction of Optimal Risky Portfolios with and without Short Selling

Capital Asset Pricing Model (CAPM)

Arbitrage Pricing Theory (APT)

Fama-French 3-Factor Model

Further Developments and Issues in Pricing Models

Tuesday, June 9 Lecture and Review for the mid-term exam

Wednesday, June 10 Mid-term exam and lecture to be continued

Market Efficiency and Implications on Portfolio Management

Samples of Technical Analysis

Security and Portfolio Performance Evaluation

Equity Style Analysis

Thursday, June 18 Mini Projects Due, Presentations of Mini Projects and Review for the Final Exam

Friday, June 19 Final exam