Post-Baccalaureate Certificate in Quantitative Portfolio Management at Johns Hopkins University, Essays (university) of Investment Management and Portfolio Theory

Download Post-Baccalaureate Certificate in Quantitative Portfolio Management at Johns Hopkins University and more Essays (university) Investment Management and Portfolio Theory in PDF only on Docsity! MARYLAND HIGHER EDUCATION COMMMISSION EC16 ACADEMIC PROGRAM PROPOSAL PROPOSAL FOR: ../ NEW INSTRUCTIONAL PROGRAM __ SUBSTANTIAL EXPANSION/MAJOR MODIFICATION (for online delivery) COOPERATIVE DEGREE PROGRAM ~WITIDN EXISTING RESOURCES or __ REQUIRING NEW RESOURCES (For each proposedprogram, attach a separate cover page. For example, two cover pages would accompany a proposalfor a degree program and a certificate program.) Johns Hopkins University Institution Submitting Proposal Spring 2016 Projected Implementation Date Post-Baccalaureate Certificate Quantitative Portfolio Management Award to be Offered Title ofProposed Program 1703-05 27.0301 Suggested REGIS Code Suggested CIP Code Financial Mathematics T.E. Schlesinger, Dean Department of Proposed Program Name ofDepartment Head Philip Tang alo@jhu.edu 41 0-516-6087 Contact Name Contact E-Mail Address Contact Phone Number Signature and Date 12/15/2015 President/Chief Executive Approval 12/1/2015 Date Endorsed/ Approved by Governing Board Date The Johns Hopkins University Whiting School of Engineering Proposal for New Academic Program Post-Baccalaureate Certificate in Quantitative Portfolio Management A. Centrality to institutional mission statement and planning priorities 1. Program description and alignment with mission The Johns Hopkins University Whiting School of Engineering proposes to launch a new Post-Baccalaureate Certificate in Quantitative Portfolio Management building on the existing and previously endorsed Master of Science in Engineering in Financial Mathematics (REGIS: 170302; CIP: 270301), which is designed for full-time resident students. The newly proposed program would be delivered online and is intended for part-time students. Financial Mathematics, also referred to as Financial Engineering, is a relatively new discipline, rooted in modern economic thought yet steeped in the classical intellectual disciplines of mathematical analysis, chance and uncetiainty. Tracing its origins to the early 1970s and to the introduction of the personal computer, financial engineering's early achievements include the development of structured mortgage-backed securities (now the biggest bond market) and a rationale for option pricing- the consequences of which are ubiquitous in modern investing and financial markets. The mission of The Johns Hopkins University is to educate its students and cultivate their capacity for life-long learning, to foster independent and original research, and to bring the benefits of discovery to the world. The proposed program is consistent with the Johns Hopkins mission and the State of Maryland's goals for maintaining and strengthening a preeminent statewide array of postsecondary institutions recognized nationally for academic excellence and effectiveness in fulfilling the educational needs of students, the State and the nation; and for promoting economic growth and vitality through the advancement of research and the development of a highly qualified workforce. The proposed cetiificate program is part of the JHU Whiting School ofEngineering's Engineering for Professionals (JHU-EP) division, which seeks to serve the part-time graduate degree program needs of the working engineering and science professionals in the central Maryland region and beyond. The Post-Baccalaureate Certificate in Quantitative Portfolio Management program will prepare students to enter leadership positions in the financial industry and government where they will use their financial mathematics knowledge, skills, and creativity to provide innovative solutions and develop new or improved financial products and services. This program will build on the existing instructional strengths of JHU-EP to provide a blend of graduate engineering knowledge with professional development education in the area of financial risk management. 1 Graduates will be prepared to enter leadership positions in the financial industry and government where they will use their quantitative skills and creativity to provide innovative solutions and develop new or improved approaches to portfolio management. 3. General Education Requirements Not applicable. 4. Specialized Accreditation/Certification Requirements Not applicable. 5. Contractual Agreements with Other Institutions Not applicable. C. Critical and compelling regional or statewide need as identified in the State Plan: 1. Demand and need for program The Whiting School of Engineering has offered graduate degree programs that address both technical expertise and leadership skills for many years. The JHU-EP Program has offered the Master of Science in Technical Management since 1981. In 1991 the JHU-EP began offering a Master of Science in Systems Engineering to meet the demand from local Maryland companies and the federal government. While demand is still strong for both of those degree programs on the part ofboth students and employers, we have observed an increasing interest in a graduate degree program that addresses the particular needs of the financial industry. Other universities have also noticed this trend. The proposed Post-Baccalaureate Certificate in Quantitative Portfolio Management program is a response to the demand from potential students and their employers for this kind of degree program. For busy working professionals, flexibility is very important in enabling them to continue their education in the face of work demands. The online option for this program will create scheduling flexibility. They will also accommodate students who must suspend their studies due to temporary military deployment or relocation by their employer. Online offerings also give JHU-EP the opportunity to retain students with frequent business travel or job assignment outside of their home region as, well as those with personal commitments requiring schedule flexibility. For these reasons, JHU-EP identified a need for online-based graduate education through a Post-Baccalaureate Certificate in Quantitative Portfolio Management. 4 2. Alignment with Maryland State Plan for Postsecondary Education The 2013-2017 Maryland State Plan for Postsecondary Education articulates six goals for postsecondary education: 1) quality and effectiveness; 2) access, affordability and completion; 3) diversity; 4) innovation; 5) economic growth and vitality; and 6) data use and distribution. This degree program addresses most of these goals. In offering the program via a distance education format, each candidate can tailor the program to suit his/her individual learning needs, which supports the access goal (Goal2) in the State Plan. By leveraging technology, candidates can pursue "anytime, anywhere" learning opportunities -- i.e., candidates can undertake course-related activities at a time and a location most convenient to them, rather than what is most convenient to the instmctor. The online program provides that emphasis and aligns with the innovation goal (Goal 4) articulated in the State Plan. One of the goals of the Whiting School of Engineering is to prepare highly trained scientists and engineers to work in organizations where they can contribute to the needs of society. Typically, the part-time students with full-time jobs who enroll in our Engineering for Professionals programs represent a broader range of diversity than students in full-time degree programs. In targeting these part-time students, this program addresses the diversity goal (Goal 3) outlined in the State Plan. In turn, the program, through the preparation ofhighly qualified financial mathematicians/engineers, also contributes to Goals 1 (Quality and Effectiveness) and 5 (Economic Growth and Vitality) by providing life-long learning to financial professionals so they can maintain the skills they need to succeed in the workforce. D. Quantifiable and reliable evidence and documentation of market supply and demand in the region and State 1. Market demand A recent survey through the job search-engine at Monster.com revealed more than 1,000 unfilled jobs in the middle-Atlantic/Baltimore region for various financial mathematics practitioners. The survey used search key-words such as financial mathematics (31), financial derivatives (158), financial risk (288), portfolio management (753), trading (11 0), and stmctured finance ( 482) to name a few, where all employment opportunities require advanced university education in financial mathematics. 2. Educational and training needs in the region Professionals practicing financial mathematics are found at every financial services institution. Such firms include banks, whereby M&T and Bank One are but two major institutions with major installations in Maryland and the mid-Atlantic region (all firms mentioned in this section include only firms contacted about the proposed program); investment management firms, such as T. Rowe Price and Legg Mason; investment banks, such as Stifel and Bank of America Merrill Lynch. There are other industrial enterprises where interactions with markets (financial or otherwise) require highly skilled 5 financial mathematics professionals, these being vital to their competitiveness (for example Consolidated Energy- trading in the global energy markets to ensure the best for Maryland). Additionally, graduates will be in demand by government entities (and governmental supra-agencies) such as at the Federal Reserve, the Government Sponsored mortgage Enterprises such as FNMA & FHLMC, the U.S. Treasury, the Social Security Administration, the World Bank, etc. If we were to include the burgeoning financial center in Wilmington, DE, such firms as J.P. Morgan Chase, Bank of America, ING, as well as Bloomberg, LLC, could be included in our list. 3. Prospective Graduates The residence program in the Whiting School of Engineering on the Homewood campus cuiTently receives 500 applicants each academic year, accepts 25 to 30 students, and graduates the same number, annually. All these students are quickly placed in jobs, usually before graduation. A few stay in the Maryland area, but many go on to the financial centers in New York, London, Hong Kong or Mainland China. There is tremendous demand for these skilled professionals, world-wide, and especially after the credit crisis of2008. The JHU-EP program is expected to produce a similar number of graduates. The majority ofthese graduates are not expected until2017 given the normal pace of JHU-EP students in pursuit of their program, though a few might choose an accelerated pace. E. Reasonableness of program duplication 1. Similar programs No other institution in the state of Maryland currently offers a Post-Baccalaureate Certificate in Quantitative Pmifolio Management or anything similar to the proposal herein. 2. Program justification The proposed Post-Baccalaureate Certificate in Quantitative Portfolio Management program is unique in its online options, its broad range of students, and its accompanying broad set of courses taught by highly-regarded researchers and practitioners. Students seek out the JHU-EP programs for the high quality and the online, part-time convenience. F. Relevance to Historically Black Institutions (HBis) 1. Potential impact on implementation or maintenance of high-demand programs at HBis. Not applicable. Web searches of the HBis in Maryland did not turn up any offerings like the one proposed here. 6 L. Adequacy of provisions for evaluation of program As part of the program design and approval process, student learning outcomes and assessments have been aligned with both the Whiting School of Engineering's Graduate Committee oversight and to applicable professional standards. Once the Post-Baccalaureate Certificate in Quantitative Portfolio Management program is launched, the program and courses will be evaluated using student surveys and program committee reviews on a regular basis. For example, feedback regarding the appropriateness of course content will be solicited from students every time a course is offered. The program committee will meet annually to assess course evaluations and other feedback provided by students, faculty and other stakeholders in the program. Based on these data, the program committee will implement changes to the program (in terms of curriculum content, course delivery mechanisms, etc.) as necessary. M. Consistency with the State's minority student achievement goals As discussed above, the JHU-EP program, the Whiting School of Engineering's part-time graduate program already draws students from the entire science and engineering work force in the central Maryland region. The diversity of Johns Hopkins's student body diversity reflects that of the regional work force. Including the online component of this program will also reflect the diversity of the work force on the national scale. This should serve to increase the accessibility of JHU-EP programs to a wider range of students in our diverse communities. N. Relationship to low productivity programs identified by the Commission Not applicable. 9 Appendix A Course List and Descriptions All courses listed below are 3 credit hours and are cunently offered unless otherwise indicated. Core courses in financial mathematics 555.442 Investment Science This is the key introductory course for the financial mathematics program and introduces the major topics of investment finance. The investment universe, its context of markets, and the flow of global capital are introduced. Details of equities, interest, bonds, commodities, forwards, futures, and derivatives are introduced to varying degree. The concepts of deterministic cash flow stream, valuation, term structure theories, risk, and single- and multi-period random cash flows are presented. Here the neoclassical theory of finance is introduced including the topics of efficient markets, the risk-return twins leading to the mean variance Capital Asset Pricing Model (CAPM), the efficient frontier, the intertemporal models, and Arbitrage Pricing Theory (APT). Some introductory models of asset dynamics (including the binomial model), basic options theory, and elements of hedging are also included in this course. (This course is the same as 550.442 offered by the AMS depmiment for the residence MSE in Financial Mathematics.) 625.441 Mathematics of Finance This course offers a rigorous treatment of the subject of investment as a scientific discipline. Mathematics is employed as the main tool to convey the principles of investment science and their use to make investment calculations for good decision making. Topics covered in the course include the basic theory of interest and its applications to fixed-income securities, cash flow analysis and capital budgeting, mean-variance portfolio theory and the associated capital asset pricing model, utility function theory and risk analysis, derivative securities and basic option theory, and portfolio evaluation. 555.444 Introduction to Financial Derivatives This is the first of a two-course sequence devoted to the mathematical modeling of securities and the markets in which they are created and exchanged. The basic cash, hybrid, and derivative instruments are reviewed and set in a rigorous mathematical context. This includes equities, bonds, options, forwards, futures, and swaps, as well as their dealer, over-the-counter, and exchange environment. Models of the term structure of interest rates, spot rates and the forward rate curve are treated; derived from cash instruments (e.g., bonds and interest rates like LIB OR) as well as from derivatives (such as Eurodollar futures and swaps). Principles of static, discrete, continuous and dynamic probabilistic models for derivative analysis (including the Weiner process, Ito's Lemma and an introduction to risk-neutral valuation) are applied to develop the binomial tree approach to option valuation, the Black-Scholes-Merton differential equation, and the Black-Scholes formulas for option pricing. (This course is the same as 550.444 offered by the AMS department for the residence MSE in Financial Mathematics.) 10 555.447 Quantitative Portfolio Theory & Performance Analysis This course focuses on modem quantitative portfolio theory, models, and analysis. Topics include intertemporal approaches to modeling and optimizing asset selection and asset allocation; benchmarks (indexes), performance assessment (including, Sharpe, Treynor and Jenson ratios) and performance attribution; immunization theorems; alpha-beta separation in management, performance measurement and attribution; Replicating Benchmark Index (RBI) strategies using cash securities I derivatives; Liability-Driven Investment (LDI); and the taxonomy and techniques of strategies for traditional management: Passive, Quasi-Passive (Indexing) Semi-Active (Immunization & Dedicated) Active (Scenario, Relative Value, Total Return and Optimization). In addition, risk management and hedging techniques are also addressed. (This course is the same as 550.447 offered by the AMS department for the residence MSE in Financial Mathematics.) Core courses in applied mathematics 625.403 Statistical Methods and Data Analysis This course introduces commonly used statistical methods. The intent of this course is to provide an understanding of statistical techniques and guidance on the appropriate use of methodologies. The course covers the mathematical foundations of common methods as an aid toward understanding both the types of applications that are appropriate and the limits of the methods. MATLAB and statistical software are used so students can apply statistical methodology to practical problems in the workplace. Topics include the basic laws of probability and descriptive statistics, conditional probability, random variables, expectation and variance, discrete and continuous probability models, bivariate distributions and covariance, sampling distributions, hypothesis testing, method of moments and maximum likelihood point (MLE) estimation, confidence intervals, contingency tables, analysis of variance (ANOVA), and linear regression modeling. 625.416 Optimization Methods in Finance Optimization methods motivated by financial applications. Topics include linear and nonlinear programming, integer programming, dynamic programming, stochastic programming, and robust methods. Applications will include p01ifolio optimization, volatility modeling, immunization, identification of arbitrage, and index fund construction. (This course is the same as 550.461 offered by the AMS department for the residence MSE in Financial Mathematics.) 11 (c) Faculty Support (i) An institution shall provide for training for faculty who teach with the use of technology in a distance education format, including training in the learning management system and the pedagogy of distance education. Faculty development support for the development of online course is provided by JHU-EP's CLDT professional staff. Faculty have multiple opportunities to receive training in the learning management system, and pedagogy of online learning -these opportunities are presented at various times throughout the year at events such as fall/spring annual faculty meetings, Brown Bag workshops, webinars, and scheduled training sessions. Once an instructor has been identified to develop an online course, they are given access to a set of web-based resources that cover a broad range of topics on online pedagogy, use of instructional technologies and learning management system tutorials. Throughout the online course development the instructor receives direct support and guidance from their assigned instructional designer on variety of online learning related topics. (ii) Principles of best practice for teaching in a distance education format shall be developed and maintained by the faculty. The JHU-EP CLDT has created a series of online teaching strategies resources. These resources are based best practices from research and other related sources. All new online course instructors are encouraged to review these resources prior to teaching their first online course. New online instructors also receive one-on-one coaching from instructional designers and peer mentors. (iii) An institution shall provide faculty support services specifically related to teaching through a distance education format. The JHU-EP Center for Learning Design and Technology provides a wide range of faculty support services for instructors engaged in online instruction. Instructors have access to multi-media specialists, instructional technologists, instructional designers, a training specialist and other institutional support staff to assist them in their role as online instructors. Some of the services provided include instructional technology training, course design support, learning management system training, course production support (i.e. recording studio), video production, and a faculty support help line and email. (d) An institution shall ensure that appropriate learning resources are available to students including appropriate and adequate library services and resources. The students will have online access to the Milton S. Eisenhower Library on the Homewood campus, which is ranked as one of the nation's foremost facilities for research and scholarship. Its collection of more than three million bound volumes, several million microfilms, and more than 13,000 journal subscriptions has been assembled to support the 14 academic efforts of the University. The interlibrary loan department makes the research collection of the nation available to faculty and students. The library also provides easy access to a wide selection of electronic information resources, including the library's online catalog, and numerous electronic abstracting and indexing tools. Many of the databases are accessible remotely. Librarians help students electronically and the library maintains an extensive web site to take visitors through all of its services and materials. (e) Students and Student Services (i) A distance education program shall provide students with clear, complete, and timely information on the curriculum, course and degree requirements, nature of faculty/student interaction, assumptions about technology competence and sldlls, technical equipment requirements, learning management system, availability of academic support services and financial aid resources, and costs and payment policies. JHU-EP maintains numerous web-based resources to inform prospective students on the information they may need as an online student. These resources include: EP main website (http://ep.jhu.edu); EP online catalog, which includes detailed programmatic information, academic support services, financial aid, costs, policies, etc. and specific information for online learning (refer to http://catalog.ep.jhu.edu/content.php?catoid=20&navoid=630). As new online students are admitted and enrolled, they receive timely emails with important information to help them prepare to become an online student. These emails include information on how to create their JHU login account for the course management systems, technical requirements, available academic support services and new online student orientation course. (ii) Enrolled students shall have reasonable and adequate access to the range of student services to support their distance education activities. JHU-EP online students have access to the following academic support services: • Academic Advising: Students are assigned an advisor when accepted. Students work individually with the advisor to develop a course of study that meets the requirements of the program and the career goals of the student. The advisor regularly contacts the students to check on progress and answer questions. Courses that deviate from the program plan and have not been approved by an adviser may not count toward degree requirements. A degree audit tool is provided so students verify their selections match degree requirements. • Library Services: Students have online access to the Milton S. Eisenhower Library on the Homewood campus, ranked as one of the nation's foremost facilities for research and scholarship. The interlibrary loan department allows students access to resources at any other university in the nation. The library also provides easy access to a wide selection of electronic information resources, 15 including the library's online catalog, and numerous electronic abstracting and indexing tools. Many of the databases are accessible remotely. Librarians are available to assist students remotely and the library maintains an extensive web site to take visitors through all its services and materials. • Services for Students with Disabilities: The Johns Hopkins University is committed to making all academic programs, support services, and facilities accessible to qualified individuals. Students with disabilities who require reasonable accommodations can contact the EP Disability Services Administrator. • Johns Hopkins Student Assistance Program: The Johns Hopkins Student Assistance Program (JHSAP) is a professional counseling service that can assist students with managing problems of daily living. Stress, personal problems, family conflict, and life challenges can affect the academic progress of students. JHSAP focuses on problem solving through short-term counseling. Accessing the service is a simple matter of a phone call to arrange an appointment with a counselor. Online students may call a phone number for consultation and will be directed to the appropriate resource or office. JHSAP services are completely confidential. The program operates under State and Federal confidentiality legislation and is HIP AA compliant. • Transcript Access: Official transcripts will be mailed upon written request of the student at no charge. • Student ID JCard: The JCard serves as the student's University identification card. This card is mailed to the home address of every registered student. The JCard acts as the university library card, which enables students to check out books from the Homewood Eisenhower Library or at any of the campus center libraries, and provides access to many computer laboratories. (iii) Accepted students shall have the background, knowledge, and technical skills needed to undertake a distance education program. All accepted online students are required to have met the admission requirements stated for the degree program. New online students are strongly encouraged to complete the "New Online Student Orientation" course prior to beginning their first online course. This course covers a broad range of topics on how to be a successful online student such as: online student learning expectations, how to access the library, how to conduct online research, and how to participate in online discussions. (iv.) Advertising, recruiting, and admissions materials shall clearly and accurately represent the program and the services available. All relevant program information is kept up to date on the JHU-EP web site (http://ep.jhu.edu). 16 Appendix D Financial Information TABLE 1: RESOURCES 2015 2016 2017 2018 2019 1. Reallocated Funds $0 $0 $0 $0 $0 2. Tuition/Fee Revenue (c + g below) $0 $166,045 $636,230 $1,148,395 $1,515,882 a. Number of F/T Students 0 0 0 0 0 b. Annual Tuition/Fee Rate NA NA NA NA NA c. Total F/T Revenue (ax b) $0 $0 $0 $0 $0 d. Number of P/T Students 0 15 55 95 120 e. Credit Hour Rate $1,177 $1,230 $1,285 $1,343 $1,404 f. Annual Credit Hour Rate 9 9 9 9 9 g. Total P/T Revenue (d x ex f) $0 $166,045 $636,230 $1,148,395 $1,515,882 3. Grants, Contracts & Other Ext Sources $0 $0 $0 $0 $0 4. Other Sources $0 $0 $0 $0 $0 TOTAL (Add 1- 4) $0 $166,045 $636,230 $1,148,395 $1,515,882 Resources narrative 1. Reallocated Funds: The proposed program will be funded by tuition revenue, and will make no use of reallocated funds. 2. Tuition and Fee Revenue: Revenue is based on projected enrollments for the program. The Post-Baccalaureate Certificate in Securitization is a part-time programs, so no full-time students are expected. JHU-EP students take, on average, three 3-credit courses per year, which is reflected in the "Annual Credit Hour Rate." 3. Grants and Contracts: No grants or contacts are required for the successful implementation of the program. 4. Other Sources: The program does not expect any funding from other source. Note: The resources and expenditures data for the Post-Baccalaureate Certificate in Securitization is combined with those for the Post-Baccalaureate Certificate in Financial Risk Management, the Master of Science in Financial Mathematics, and the Post-Baccalaureate Certificate in Quantitative Portfolio Management, as they share the same courses, and all resources and expenditures in these programs are course-based. 19 TABLE 2: EXPENDITURES 2015 2016 2017 2018 2019 1. Faculty (b + c below) $27,524 $65,507 $124,088 $175,251 $218,479 a. #Sections offered 0 4 10 15 20 b. Total Salary $25,485 $60,654 $114,897 $162,269 $202,296 c. Total Benefits $2,039 $4,852 $9,192 $12,982 $16,184 2. Admin. Staff (b + c below) $37,520 $38,270 $39,036 $39,817 $40,613 a.# FTE 0.25 0.25 0.25 0.25 0.25 b. Total Salary $28,000 $28,560 $29,131 $29,714 $30,308 c. Total Benefits $9,520 $9,710 $9,905 $10,103 $10,305 3. Support Staff (b+c below) $28,669 $29,099 $29,535 $29,978 $20,285 a.# FTE 0.375 0.375 0.375 0.375 0.25 b. Total Salary $21,315 $21,635 $21,959 $22,289 $15,082 c. Total Benefits $7,354 $7,464 $7,576 $7,690 $5,203 4. Equipment $0 $0 $0 $0 $0 5. Library $0 $0 $0 $0 $0 6. New or Renovated Space $0 $0 $0 $0 $0 7. Other Expenses $0 $59,516 $194,123 $299,920 $422,729 TOTAL (Add 1- 7) $93,712 $192,392 $386,782 $544,966 $702,107 Expenditures narrative 1. Faculty: The Engineering for Professionals lecturers are paid $8,495 (for FY15) per course taught or developed. For years 2-5, an additional2% was added to the salary rate. The fringe rate is estimated at 8%. 2. Administrative Staff: Includes pro-rated salaries for the Program Chair. 3. Support Staff: Includes pro-rated salaries for FIT Instructional Designers to assist in developing online courses. 4. Equipment: No direct equipment costs are identified. 5. Library: Existing library facilities are sufficient to meet the needs of the program. 6. New or Renovated Space: No new or renovated space will be needed. 7. Other Expenses: Indirect program costs (per enrollment) are provided here. 20