Objectives

Although there is no formal definition, an alternative investment could be understood as any investment that is neither limited to traditional asset classes (such as cash, bonds, stocks) nor subject to conventional investment strategies, constraints (long-only, no leverage...), etc.

In this course, we will explore:

• Alternative asset classes, such as hedge funds, private equity, real assets, and structured products

• Alternative methods of risk management (as opposed to conventional linear diversification) and alternative investment/trading strategies

Note. It is required to bring your own laptop (Microsoft Excel installed) to the class.

Contents

1. Introduction and Review

• Mathematics
• Return and risk
• Traditional risk management and financial derivatives

2. Alternative Risk Management and Investment Strategies

• Portfolio protection
• Return enhancement
• Hedging

3. Hedge Funds

• Measuring risk-adjusted performance
• Hedge fund strategies
• Investing in hedge funds

4. Structured Finance and Products

• Structured products
• Collateralised debt obligation (CDO) and other structured finance instruments

5. Other Alternative Asset Classes

• Private equity
• Real assets

References

References:

• Anson M., Handbook of Alternative Assets, John Wiley & Sons
• CAIA Association, CAIA Level I & II, John Wiley & Sons
• Lhabitant F.-S., Handbook of Hedge Funds, John Wiley & Sons

More references will be given in the class.

Pre-requisites

The participants are expected to have a good understanding in investments; advanced quantitative skills would be very helpful.

Evaluation

First attempt

Exam:

Written 3h00 hours

Documentation:

Allowed with restrictions

Calculator:

Allowed with restrictions

Evaluation:

Grade = 60% Final exam + 20% Quiz + 10% Project + 10% Participation

Retake

Exam:

Written 3h00 hours

Documentation:

Allowed with restrictions

Calculator:

Allowed with restrictions

Evaluation:

The intergrative exam accounts for 100% of the final grade