University of Technology, Sydney

Staff directory | Webmail | Maps | Newsroom | What's on

20509 Applied Portfolio Management

Warning: The information on this page is indicative. The subject outline for a particular session, location and mode of offering is the authoritative source of all information about the subject for that offering. Required texts, recommended texts and references in particular are likely to change. Students will be provided with a subject outline once they enrol in the subject.

Subject handbook information prior to 2020 is available in the Archives.

UTS: Business: Finance
Credit points: 6 cp

Subject level:


Result type: Grade and marks


This subject provides students with an in-depth understanding of both the theoretical and the practical aspects of modern portfolio management. In terms of theory, students learn about the portfolio management process, the various asset classes at a fund manager's disposal, the role of diversification in portfolio management, the asset allocation and asset selection decisions, the use of financial derivatives in portfolio management and the fiduciary responsibilities of a fund manager. The practical aspects of the subject involve implementing and evaluating various asset price models for constructing efficient portfolios, implementing models for equity valuation, using the Black-Scholes option pricing formulae for portfolio insurance, and a substantial simulated portfolio management exercise, using historical price data.

Subject learning objectives (SLOs)

Upon successful completion of this subject students should be able to:
1. understand the factors driving equity and bond prices
2. build and manage equity and bond portfolios
3. analyse risks and profit opportunities of financial portfolios
4. assess the coherence of a portfolio strategy with a given set of investment objectives

Contribution to the development of graduate attributes

The subject contributes to the aim of preparing students to commence a fulfilling and effective career in business, especially in investment management. Its specific contributions are to enable students to develop their knowledge and understanding of the theory and practice of portfolio management.

Teaching and learning strategies

Lectures examine the characteristics of financial assets and portfolio management strategies and conduct computer-based exercises. Appropriate learning 2014 practices are used, such as on-line and off-line learning opportunities and flipped-learning sessions.

Content (topics)

  • The asset management industry; segments, competition and profitability.
  • Factors driving equity and bond prices.
  • Quantitative stock selection.
  • Long-Short equity portfolio strategies.
  • Interest rate risk and related bond portfolio strategies.
  • Credit risk and related bond portfolio strategies.
  • Derivatives in equity and bond portfolio strategies.


Assessment task 1: Group Portfolio Project


This addresses subject learning objective(s):

2, 3 and 4

Weight: 25%

Assessment task 2: Individual Portfolio Project


This addresses subject learning objective(s):

2, 3 and 4

Weight: 25%

Assessment task 3: Final Exam (Individual)


This addresses subject learning objective(s):

1, 3 and 4

Weight: 50%

2 hours + 10 minutes reading time

Minimum requirements

Students must achieve at least 50% of the subject’s total marks.

Required texts

For this class students are not required to buy any specific book.

For each lesson a set of Lecture Notes will be provided. Additionally, for some of the lessons, students are also required to read the assigned journal articles.

Recommended texts

The following books are a good reference material for anybody interested in portfolio management:

  • Ludwig B. Chincarini and Daehwan Kim. Quantitative Equity Portfolio Management. McGraw-Hill, New York, 2006
  • Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, and William N. Goetzmann. Modern Portfolio Theory and Investment Analysis. John Wiley and Sons, Hoboken, NJ, eighth edition, 2010.
  • Richard C. Grinold and Ronald N. Kahn. Active Portfolio Management. McGraw-Hill, New York, second edition, 2000.
  • Robert B. Litterman. Modern Investment Management: An Equilibrium Approach. John Wiley and Sons, Hoboken, NJ, 2003.