FEB UGM Yogyakarta

Silabus TPAI Prof. Dr. Jogiyanto Hartono, M, MBA, Akt. JAM KANTOR: Senin jam 14.00-16.00 Selasa jam 12.00-13.00 setelah kuliah Buku Teks Jones, Charles P. Investment Analysis and Management, New York, NY: John Wiley & Sons, Inc., Eleventh edition, 2010. Hartono, Jogiyanto. Teori Portofolio dan Analisis Investasi, Yogyakarta, Yogyakarta: BPFE UGM, 7th edition, 2011. Penjelasan Matakuliah:
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. Makalah Akhir: Dikumpulkan pada hari ujian akhir. Penilaian: Mid term exam: 25%; Final exam: 25%; Class participation: 25% and Big paper: 25%. A>=90; A->=85; B+>=80; B>=75; B->=70; C+>=65; C>=60; C->=55, D<55. Skedul Kelas: No. Chapter(s) 1 Overview 2 Understanding Investment (Jones - Ch. 1-3); (Jogiyanto Ch. 1) - The Nature of Investment - Investment alternatives - Direct and indirect investment - Financial Assets Available to Investors - Investing in Mutual Funds 3 Security Markets (Jones Ch. 4-5); (Jogiyanto Ch 2,3) - Investment companies - Money market - Capital markets - Derivative markets - How the security market works Homeworks Q1-1, 1-5, 1-7, 112, 1-17 Q2-1, 2-21, Q3-14, 3-20 Q4-4. 4-6 P4-3 Q5-3, 5-25 P5-4 Presenters

Common Stock Valuation and Analysis (Jones Ch. 10); (Jogiyanto Ch. 4,5) - The economy and the common stock - Fundamental analysis Return and Risk for individual asset (Jones Ch. 6); (Jogiyanto Ch. 7) - The components of return - Historical return - Expected return - Concept of risk Return and Risk for Portfolio (Jones Ch. 7); (Jogiyanto Ch 8). - Portfolio return - Portfolio risk - Diversification concept in portfolio Portfolio Selection (Jones Ch. 8); (Jogiyanto Ch. 9) - Building a portfolio - Efficient frontier - Selecting optimal portfolio of risky assets MID-TERM EXAM Single Index Model (Jones Ch. 8; Jogiyanto Ch.10) - Purpose of the single index model - Break total return into two returns based on the model - Portfolio risk using single index model - Portfolio optimal using single index model CAPM (Jones Ch. 9); (Jogiyanto Ch. 14) - Assumptions of the model - Derivation of the model - The security market line - Test of the CAPM Beta (Jogiyanto Ch 11,12) - Concept of Beta - Market, fundamental and accounting betas - Bias in beta and its corrections Bond (Jones Ch. 17), Jogiyanto Ch. 6) - Bond value - Duration Market Efficiency (Jones Ch. 12; Jogiyanto Ch. 15-17) - Informationally efficient market - Types of market efficiency - Test of market efficiency Options (Jones Ch. 19), Jogiyanto (ch. 13) - Understanding options - Options strategies - The Black-Scholes model Portfolio Management and Evaluation (Jones Ch. 21, 22; Jogiyanto Ch. 18) - Portfolio management process - The Sharpe performance - The Treynor performance FINAL EXAM

Q10-1, 10-4, 1012 P10-23 Q6-1, 6-14, 6-23 SE6-1

Q7-6, 7-19 SE7-1 Q8-6, 8-18, 8-21 P8-1

Q8-10, Q8-11, 812

Q9-3, 9-4, 9-33, 934 P9-34 P9-3 SP9-1 Q17-2, 17-3, 1719, 17-27 P17-1 Q12-1, 12-2, 1230 Q19-2, 19-11 P19-2 SE19-1 Q21-1, P22-1

10

11 12

13

14