FACULTY OF ECONOMICS - GADJAH MADA UNIVERSITY MASTER OF MANAGEMENT SYLLABUS PORTFOLIO MANAGEMENT Credit Hours: Lecture Prof. Jogiyanto Hartono, MBA, Akt., Ph.D. Accounting Department Faculty of Economics and Business, Gadjah Mada University Course Description: This course will discuss the issue related to modern portfolio theories. It covers the discussions about the characteristics and analysis of individual securities, as well as with the theory and practice of creating portfolios Markowitz in the 1950s published seminal articles and a book on portfolio theory. His work provided a way to methodologically deal with security risk and return. Subsequently, the original Capital Asset Pricing Model was developed by Sharpe along with Lintner and Mossin in the 1960s. Later, in the 1970s, Black and Scholes published articles on the pricing of options. With this array of theories, it is now possible to approach the field of investments in a rigorous manner. Based on those theories, this course will deal with an understanding of the investment environment, instruments and process. The investment environment includes the kinds of marketable securities that exist where securities can be bought and sold. The investment instruments discussed are bonds, stocks, and other assets such options. The investment process s concerned with certain decisions a investor has to make. The decisions concern how much to invest and when to make the investment. Learning Objectives: After completion of this course, students are expected to be able to: Understand the concept of investment. Understand how the stock market works, Understand the concept of investing in stocks, bonds, and as well as a portfolio. Construct an optimal portfolio. Evaluate the performance of a given portfolio. Reading Materials: Bodie, Kane, and Marcus. Investment. McGraw-Hill International Edition, 2009. Hartono, Jogiyanto. Teori Portofolio dan Analisis Investasi, Yogyakarta, Yoayakarta: BPFE UGM, 8 edition, 2013. Hartono, Jogiyanto, Teori dan Praktik Portfolio dengan Excel, Jakarta: Salemba Empat, 2014, Big Pape One individual paper is required. You have to submit the paper on the final exam day. The paper should not exceed twenty pages. Topics of the paper have to be relevant with those we discussed in the class.Schedule of Activties: Materi Ke 1 |Overview 2 [Understanding Investment (Bab 1) 3 4 Security Markets (Bab 2,3) (Common Stock Valuation and Analysis (Bab 4,3) Proyeli#1: Kumpulkan data harga saham penutupan harian selama satu tahiun. Hitung return mereka, Laporkan. statistik deskriptif return saham (mean, standard deviation dan skewness) dan normalitasnya. IS |Return and Risk for individual asset (Bab 7) [Proyek#2: Kumpulkan data [PO setahun terakhir dan hitung nilai return awalnya. © |Return and Risk for Portfolio (Bab 8) |Proyek#3: Hitung Returns, Risiko dan CV untuk semua saham di BEI dan Kelompokkan mereka dalam growth idan value stocks. Bandingkan kinerja return kedua kelompok in. 7 [Portfolio Selection (Bab 9). [Proyekil4: Secara random buatlah portfolio mulai berisi 1 saham, ditambah dengan sebuah saham sampai berisi 20 saham. Hitung risiko portfolionya untuk masing-masing portofolio berisi dengan 1, 2, 3, sampai 20 saham dan plot. MID-TERM EXAM 8 |Single Index Model (Bab 10) Proyek#S: Buat portofolio optimal menggunakan model Markowitz dengan Excel Solver. 9” |Beta (Bab 11) dan beta Koreksi (Bab 12) Proyek#8: Buat sebuah portofolio optimal menggunakan SIM.. 10 |CAPM (Bab. 14) Proyek#6: Hitung Beta beberapa saham dan beta koreksi 1 lead, 1 Jag menggunakan metode Fowler and Rorke. TT [Market Effieney (Bab 15, 16, 17) | [Proyek#7: Plot semua saham di BEJ dengan garis pasar sekuritas 12 [Bond (Bab 6) [Proyek#11: Hitung return tidak normal selama 1 minggu di sekitar peledakan bom Bali. T3 Option and Future (Bab 13) |Proyek#8: Hitung durasi beberapa obligasi. Hitung harga obligasi baru a |Bandingkan harga sensivitas ini dengan harga pasar sesungguhnya, 1¥ [Portfolio Management and Evaluation (Ch. 18) Proyek#9: Hitung kinerja reksadana Indonesia FINAL EXAM