EF 5052 Douglas S. Rolph Semester B, 2008-2009
Section:
EF 5052-S01
WED 14:30 -
17:20
P-4910 Syllabus
Class
Schedule
(Last revised 14 January, 2009)
The class schedule may change;
check here for the most recent version.
Office Hours: WEDS: 17:30 - 19:20
THURS: 16:30 - 18:20
or by appointment ( email me
)
Office: P7428
Email: drolph@cityu.edu.hk
Overview
Link: Hong Kong Monetary Authority Central Moneymarkets Unit
Markets and Mutual Funds
Link: Morningstar Hong Kong
Link: MSCI Barra: International Stock Indices
File: Risk and Average Returns: Hong Kong and Other Markets
File: Case 1 Example
Retirement Planning and Asset Allocation
File: Capital Allocation Line Example
File: Correlations: Hong Kong and Other Markets
Risk and Expected Return; Diversification
Link: Campbell Harvey's Mean-Standard Deviation Analysis Program
File: Examples of Risk and Expected Returns: Two assets
File: Examples of Risk and Expected Returns: Three assets
File: Case 2 Dataset
CAPM
Link: Damodaran's website (look under "updated data" for industry betas)
The Index Model
Link: What Determines Chinese Stock Returns?
File: Index Model Examples
Trading on Information
Link: Federal Reserve: Probability of Monetary Policy Change
Suggested homework problems
Note: Chapter numbers do not change between 7th and 8th editions, page numbers do change.
|
8th Edition |
7th Edition |
6th Edition |
|
Ch. Problems 2 5,6,11 Pages: 24-45 |
Ch. Problems 2 2, 4, 7 Pages: 26-47 |
Problems 2 2, 4, 7 Pages: 32-54 |
|
3 3,4,11,12 Pages: 58-63,71-77 |
3 2,9,10,16 Pages: 62-68, 76-82 |
3 2, 11, 13, 14 Pages: 71-74, 86-94 |
|
4 3,5,7,10,17-18 Pages: 88-105
|
4 3, 5, 7, 10, 17, 20 Pages: 95-114
|
4 2, 4, 7, 10, 17, 19 Pages: 108-128
|
|
5 13;CFA problems: 3-5 Pages: 114-115,118-141
|
5 9, 13-15 Pages: 124-125,128-151
|
5 8, 13-15 Pages: 138-139, 142-151, 154-155
|
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6 4,10,13-18,21,26-27 CFA problems: 1-2 Pages: 157-160,165-178
|
6 3-4, 11, 14, 19-24, 26-27, 31 Pages: 166-169, 175-188
|
6 1, 7, 8, 10 Pages: 166-171, 173-178
|
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7 4-9;CFA problems: 1-2,12 Pages: 194-218
|
7 9-14, 20-21, 26 Pages: 206-231
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7 1-6, 9, 13 Pages: 198-206, 210-213
|
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8 6-7,9-14 Pages: 244-265
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8 1, 9-14, 7 Pages: 257-279
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8 1-8, 15, 16, 31 Pages: 224-255
|
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9 6-7,10-11; CFA problems: 8-9,10,12 Pages: 279-300
|
9 9-10, 13-14, 20-22, 31 Pages: 294-313
|
9 6, 7, 9, 10, 18 a-c, 26-28, 31 Pages: 282-292
|
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10 5-6,11;CFA problems: 1-2 Pages: 319-334,337
|
10 2-3,8-9,17 Pages: 332-345, 348-349
|
10 2, 3, 5-10 Pages: 318-330,333
|
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11 1,3,6,10;CFA problems: 2 Pages: 344-353,359-374
|
11 3-5, 12, 13 Pages: 356-366,371-385
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11 3-5, 12, 13 Pages: 344-353,356-358,361-362
|
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12 Pages: 384-390
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12 Pages: 396-402
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12 6, 8-9, 16-17 Pages: 370-381,386-396
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15 4;CFA problems: 1-2,4 Concept Check Q: 5-8 Pages: 484-501
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15 2, 4, 6, 8 Concept Check Q: 5-8 Pages: 495-514
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15 1-2, 6, 8 Concept Check Q: 4-7 Pages: 488-503
|
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16 3-6;CFA problems: 2 Pages: 512-522
|
16 1-4,6a-e,h Pages: 524-534
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16 1-4,8a-e,h Pages: 520-530
|
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18 Concept Check Q: 1-2 Pages: 586-595
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18 Concept Check Q: 1-2 Pages: 603-616
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18 Concept Check Q: 1-2 Pages: 606-618
|
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24 4,7;CFA problems: 4-6 Concept Check Q: 1, 3 Pages: 823-826,828-829,831-832 |
24 2, 4, 20-21, 25 Concept Check Q: 1, 3 Pages: 851-854, 856-857, 859-861 |
24 4-5, 15-17 Concept Check Q: 2-3 Pages: 863-865,866-868,871-874 |