FNCE90056

Investment Management

SUBJECT GUIDE

Semester 2, 2020

Prepared by
Dr Minsoo Kim
Dr Thijs van der Heijden

Department of Finance
Melbourne Business School
Subject Outline

Introduction

Welcome to FNCE90056 Investment Management, a core subject in the Master of

Management (Finance) program. Along with Corporate Financial Policy, this subject is the
foundation of our postgraduate finance curriculum, and it provides an entry point to
advanced subjects in the Master of Management (Finance) and Master of Finance
programs. It encompasses the fundamental ideas of valuation, risk management, and
arbitrage of investment assets.

Subject Aims

The overall aim of this subject is to equip students with the tools necessary to enable them
to make the core investment management decisions that managers face on a daily basis, as
well as the knowledge of where they can find the information necessary to apply those tools.
This subject is an introduction to investment analysis, with an emphasis on equity and fixed
income securities. The topics covered focus on the fundamental issues facing financial
managers, money managers, risk managers, financial advisors, and regulators. These
topics include modern portfolio theory and its applications, equilibrium theories of asset
pricing, portfolio performance evaluation, and key issues in the pricing and portfolio
allocation of fixed income assets.

Learning Outcomes
Subject Objectives and Generic Skills

To view the subject objectives and the generic skills you will develop through successful
completion of this subject, please see the University Handbook:

https://handbook.unimelb.edu.au/view/current/FNCE90056

Eligibility and Requirements

To view the eligibility and requirements, including prerequisites, corequisites, recommended
background knowledge and core participation requirements for this subject, please see the
University Handbook:

https://handbook.unimelb.edu.au/view/current/FNCE90056

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Academic Staff Contact Details
Lectures 1-5:

Dr Thijs van der Heijden (subject coordinator)

Email: thijsv@unimelb.edu.au
Consultation Hours: Tue 10AM-11.30AM (weeks 1-6), Zoom link

Lectures 6-10:

Dr Minsoo Kim
Email: minsoo.kim@unimelb.edu.au
Consultation Hours: Thur 3.30PM-5PM (weeks 7-12), Zoom link

Thijs van der Heijden

Thijs van der Heijden is a Senior Lecturer in the Department of Finance at the University of
Melbourne. He received his PhD and MSc in Quantitative Finance and Actuarial Science from
Tilburg University in the Netherlands. During his PhD Thijs was also affiliated as a junior
researcher with the liability driven investments department at BNP Paribas Asset Management
in Amsterdam. Thijs is a Financial Economist who specializes in derivatives pricing, market
microstructure, and asset pricing. He has published in the Journal of Econometrics and
Management Science and teaches derivatives, fixed income and investments at the
undergraduate, masters and honours levels.

Minsoo Kim

Minsoo Kim is a Senior Lecturer in the Department of Finance at the University of Melbourne.
He received his PhD in Finance from London Business School, MS in Statistics from University
of Chicago, and BBA in Business Administration (minor in Statistics) and BA in Education from
Korea University. Before his PhD study, he was a Research Professional at the Fama-Miller
Center for Research in Finance at University of Chicago Booth School of Business. Minsoo’s
research interest lies in empirical asset pricing and financial intermediaries. He has presented
and discussed his papers in external seminars including at the Federal Reserve Board of
Governors and Bank of Canada.

Consultation format

Consultations will take place via Zoom, see the links above.

To make this the most effective experience for everyone, we propose the following:
1. Please use the LMS Discussion Board to ask questions about the material. There will be
a separate topic for each lecture.
2. You can ‘like’ various posts to show that you are also interested in this question. During
the consultation, we will give priority to questions that have been liked more often.
3. We encourage all of you to post answers to questions of your fellow students. This way
we can build a community of knowledge about investment analysis. The best way to

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 learn about a topic is to explain it to your peers. We will be monitoring and moderating
the discussion board as well outside the Zoom consultations.

Should you require further clarification or if you have personal questions (e.g., about career
advice) then we will endeavour to be available via personal Zoom meetings. Please send us
an email to book a consult in that case.

Email Protocol

Please note that we are only able to respond to student emails coming from a University
email address. Please do not use personal email addresses such as Yahoo, Hotmail or even
business email addresses. Emails from non-University email addresses may be filtered by
the University’s spam filter, which means that we may not receive your email. All
correspondence relating to this subject will only be sent to your University email address.
Note that you must first activate your University email address before you can send or
receive emails at that address. You can activate your email account at this link:
http://accounts.unimelb.edu.au/.

While academic staff endeavour to address queries received via email, it is more appropriate
to resolve substantive questions during lectures and tutorials and during normal consultation
hours. With this in mind, we encourage students to attend all lectures and tutorials and to
familiarise themselves with the consultation hours offered by the lecturers in this subject.

Lectures
Lecture Times

Stream one: Monday 6:15PM-8:45PM

Stream two: Wednesday 2:15PM-4:45PM

The above times are for face to face lecture delivery. For the moment the expectation is that
lectures will be delivered online for the duration of the semester. A lecture recording will be
made available on the LMS before Monday 6.15PM each week for you to access.

Lecture Participation Requirements

You are expected to prepare for each Zoom-based lecture by skimming through the week’s
reading before watching the lecture. This will greatly enhance your learning experience.
Active participation in the subject through questions and comments is highly encouraged.
Your class mates are likely to grapple with similar issues as you are and will be grateful for
your questions that we will answer on the LMS if they are judged to be of interest to the
class. If you later ask us to act as a referee for you when applying to undertake further study
or when applying for a job, then we will be more likely to accept that request and be able to
provide useful feedback if we know more about your interests and skills in investment
management than simply your subject grade.

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Lecture Schedule

Week Date Lecture Topic Readings

Commencing /
Lecturer

1 3/5 August 1 / TH Risk aversion and measuring 5.1-5.3, 5.5

investment strategies

2 10/12 August 2 / TH Optimal risky portfolios 3.4-3.5, 6.1-6.4

3 17/19 August 3 / TH Capital Asset Pricing Model 7.1-7.3

(CAPM)

4 24/26 August 4 / TH Empirical evidence on CAPM 6.5

5 31 August Mid-semester exam 1

6 7/9 September 5 / TH Arbitrage Pricing Theory and 7.4-7.5

multifactor models

7 14/16 September 6 / MK Fixed income valuation 9.1

8 21/23 September 7 / MK Coupon bonds 5.4, 9.2-9.3, 9.6

28 September Mid-semester exam 2
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5/7 October Non-teaching week

10 12/14 October 8 / MK Term structure models

11 19/21 October 9 / MK Managing bond portfolios 10.1-10.4

12 26/28 October 10 / MK Credit risk and portfolio

10.5, 18.1-18.2
performance evaluation

Lecture Slides

Lecture slides will be placed on the LMS page for this subject prior to each lecture.

Workshops
Workshop instructor

Mr Yifan Zhou

Contact via the LMS

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Workshop times

Stream one: Thursday 3.15PM-4.15PM

Stream two: Monday 5.15PM-6.15PM

Workshops will be delivered online until further notice. Further information will be made
available on the LMS.

Workshop Participation Requirements

Participation in the workshop is not compulsory, but highly recommended to help you keep up
with the material, ask questions and help answer your fellow students’ questions.

Workshop Schedule

The workshops will consider the material from the lecture of the previous week, i.e., the
workshop held in week 2 will be looking at material and exercises from week 1 etc.

Assessment
Assessment Overview

Your assessment for this subject comprises the following:

Assessment Task Due Weighting

Midterm 1 (1 hour) 31 August 20%

Midterm 2 (1 hour) 28 September 20%

End-of-semester exam (3 hours)* Assessment period 60%

Midterm exams are 1 hour long with no reading time. The final exam will be 3 hours long.
The expectation is that all exams will be held online via the LMS in an open-book format, but
you will be advised if that changes.

To assist in your preparations, unassessed revision problems and solutions will be provided
every week.

*Please note that the Final Examination now has a hurdle requirement. You must pass
the final exam to pass this subject.

Midterm 1 will cover the material of lectures 1-3 and associated readings.

Midterm 2 will cover the material of lectures 4-6 and associated readings.

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 The end-of-semester exam will cover all material treated in the lectures and the required
readings.

Subject Resources
Prescribed References

Bodie, Zvi, Michael E. Drew, Anup Basu, Alex Kane, and Alan J. Marcus. 2013. Principles of
Investments.

Academic Integrity
Academic Honesty

The University maintains high academic standards in its courses and subjects and expects
students to conduct themselves in a manner which is fair, honest and consistent with the
principles of academic integrity, particularly when undertaking assessment and research.
http://academicintegrity.unimelb.edu.au/

Referencing

All sources used for a written piece of assessment must be referenced. This is to
acknowledge that your material is not based entirely on your own ideas, but is based, in
part, on the ideas, information, and evidence of others. This is desirable as you are
attending University in order to learn from others.

You will be required to use the APA of referencing. The library has prepared a website to
help students correctly reference:

http://www.lib.unimelb.edu.au/recite/citations/harvard/generalNotes.html

It is important that all material you present for assessment is referenced correctly. Material
that has not been referenced correctly may be considered to be plagiarised, and as such
may be penalised. We will also look for evidence that material included in the bibliography
has been used in the assignment. Including references that have not been used may also
result in your assignment being penalised

The Academic Skills Unit has produced resources to assist students with referencing
https://services.unimelb.edu.au/academicskills/undergrads/top_resources

The Library also provides advice on referencing: http://library.unimelb.edu.au/cite

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University Services
Timetable

MyTimetable is a class timetabling system that creates individual timetables for students
based on submitted class preferences, ensuring everyone has an equitable opportunity of
getting their preferred class timetable. You will use this system to create your class timetable
prior to each study period.

By following a preference-based model, students who have other commitments, such as

employment or carer responsibilities, or who are returning or living overseas during the
timetabling period, aren’t disadvantaged by their limited availability. When allocating class
timetables, MyTimetable also takes into consideration factors such as class size limits and
potential clashes to ensure all students are equally accommodated. Further information is
available on the web at https://students.unimelb.edu.au/admin/class-timetable

Stop 1: Connecting Students and Services

Stop 1 is here to provide you with a range of support services throughout your university
degree, from help with enrolment, administration and wellbeing to advice on building your
skills and experiences. https://students.unimelb.edu.au/stop1

Academic Skills

Academic Skills offers a range of workshops and resources to help you with study skills
including researching, writing and referencing, presentation skills and preparing for exams.
Visit their website via http://services.unimelb.edu.au/academicskills.

Service Finder

The University of Melbourne offers one of the most comprehensive student support
networks in Australia. Use this site to locate a wide range of services
http://services.unimelb.edu.au/finder

Student Counselling

Students attend counselling to talk about personal, emotional, or mental health issues which
might be affecting their study and life. The University’s Counselling and Psychological
Services (CAPS) provides free, confidential, short-term professional counselling to
currently enrolled students and staff. https://services.unimelb.edu.au/counsel/individual

Student Equity and Disability Support

Student Equity and Disability Support provides services for students who need ongoing
support with their studies. They understand that adjustments to learning and assessment
are sometimes required to allow all students to reach their full potential. Learn more about
the services provided, how to find support and how to register for assistance.
http://services.unimelb.edu.au/student-equity

University of Melbourne Library Services

As well as holding an extensive collection of books, ebooks, digital media and periodicals,
library staff provide research guidance and support for students.

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 http://library.unimelb.edu.au/

These Business and Economics Library Guides have been designed specifically for Faculty
of Business and Economics staff and students.
http://unimelb.libguides.com/sb.php?subject_id=80310

Policy
Alternative Exam Arrangements (AEA)

The definition of and eligibility requirements for alternative exam arrangements (AEA) can be
found via http://students.unimelb.edu.au/admin/alternate .

Mid-semester examinations/tests are organised by the Department of Finance. If you wish to

request alternative arrangements, email fbe-financeaeas@unimelb.edu.au with a copy of your
approved Academic Adjustment Plan

Assessment and Results Policy

The University’s assessment policy provides a framework for the design, delivery and
implementation of assessment of students in award and non-award courses and subjects.
Assessment is designed to contribute to high quality learning by students, and to allow for
quality assurance and the maintenance of high academic standards.
https://policy.unimelb.edu.au/MPF1326

Assignment Extension

Requests for an assignment extension should be submitted here:

http://go.unimelb.edu.au/yh9n.

Before completing this form, please read the Assignment Extension Policy, which can be
found at: http://policy.unimelb.edu.au/MPF1326

Exam Policy

The University requires that you are available for the entire examination period. Please see
the University's Principal Dates via http://www.unimelb.edu.au/dates#2020 for the full annual
calendar. Supplementary exams will not be provided in cases of absence during the
examination period unless the absence is due to serious illness or other serious
circumstances and a Special Consideration application is submitted and approved.

Information on Calculators in Examinations

Effective from 1 January 2017, the approved calculator for all subjects is the Casio FX82 (any
suffix). No equivalent models of calculators will be permitted in exams.

You are required to purchase your own calculator and are responsible for ensuring your
calculator is in good working order with fresh batteries.

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Plagiarism and Collusion

Plagiarism (failure to cite your sources correctly and completely) and collusion (unauthorised
collaboration with another person to prepare an assessment task) are considered academic
misconduct and attract severe penalties. More information is available on the University’s
Academic Integrity website via http://go.unimelb.edu.au/rha6.

Special Consideration

As a student, you may experience extraordinary or unusual circumstances, or ongoing

circumstances that adversely affect your academic performance. The University has policies
in place to support students who are experiencing academic disadvantage. For more
information, visit http://students.unimelb.edu.au/admin/special.

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