Objectifs

This course is designed to introduce students to the most important financial theories and quantitative analytical tools necessary for understanding modern portfolio management. It provides students with a critical understanding of important investment and portfolio management by fund managers, risk managers, banks’ trading desks, structured product groups, pension funds, and other financial institutions. Students who have completed this course should be able to implement trading strategies, risk management techniques, stock selection, and portfolio construction methods in a wide range of assets including equities, bonds, currencies, and commodities.

Contenus

• Interest rates
• Stocks vs. bonds
• Mean-variance optimization
• CAPM, CCAPM, APT
• Market efficiency
• Empirical tests of CAPM
• Anomalies
• Performance measurement
• Currencies
• Commodities
• Trading
• Hedge Funds

Références

Class materials (copies of slides, excel spreadsheets, and other relevant readings) will be posted on the Moodle2 website. I encourage you to check this website regularly. The following textbooks are not required but helpful:

• Zvi Bodie, Alex Kane, and Alan Marcus, Investments, McGraw-Hill.
• (Advanced) Pietro Veronesi, Fixed Income Securities, Wiley.
• (PhD level) John Cochrane, Asset Pricing, Princeton University Press
• Aswath Damodaran, Investment Valuation, Wiley.

Evaluation

1ère tentative

Examen:

Ecrit 2h30 heures

Documentation:

Autorisée

Calculatrice:

Autorisée

Evaluation:

Written exam. Open book. All written notes, etc. allowed. Non-programmable calculators allowed.

Rattrapage

Examen:

Ecrit 2h30 heures

Documentation:

Autorisée

Calculatrice:

Autorisée

Evaluation:

Same as final