2022S2 Tutor: Mandy FINC3017 Investment and Portfolio Management Weekly Class 3 (Week 5-6) Schedule: Week 5 Factor Models 1. Factor Models Overview 1) Intuition of Factor Model / Why factor model 2) Factor model introduction 2. SIM Introduction 1) What is SIM 2) SIM !”#<$%&'(> 3) Diversification & Portfolio construction with SIM 4) SIM summary 5) SIM Implementation 3. Treynor-Black Model (actively managed portfolio) 4. Issues and practice of Factor models Week 6 Arbitrage Pricing Theory (APT) 1. Preliminary Knowledge 1) Intuition of APT 2) Arbitrage 2. APT Overview 1) Assumptions 2) Single Factor 3) Multiple Factors 4) APT & Risk Premium 5) Test of APT 3. Summary 1) Relationship with CAPM 2) Stock v.s. Portfolio 3) Issues with APT
