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Alternative Investments

  • Teacher(s):   T.Cho  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Autumn Semester 2020-2021, 4.0h. course (weekly average)
  •  sessions
  • site web du cours course website
  • Related programmes:
    Master of Science (MSc) in Finance, Orientation Asset and Risk Management

    Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science

    Master of Science (MSc) in Finance, Orientation Corporate Finance

 

Objectives

Although there is no formal definition, it is generally accepted that "Alternative Investment" is about any investment that is neither limited to the conventional asset classes (such as cash, bonds, stocks) nor to the traditional investment strategies (long-only, no leverage...).

In this course, we will explore:

  • Alternative risk management and investment strategies from financial engineering perspectives, as well as some other trading strategies employed by hedge fund managers
  • Alternative asset classes, such as hedge funds, private equity, real assets, and structured products

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

Contents

1. Introduction and Review

  • Mathematics
  • Traditional risk management and financial derivatives

2. Alternative Risk Management and Investment Strategies

  • Portfolio protection
  • Return enhancement
  • Hedging

3. Hedge Funds

  • Hedge fund strategies
  • Measuring returns, risks, and performance
  • 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 include:

  • 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 sound understanding in "Investments" in general and basic quantitative skills.

Evaluation

First attempt

Exam:
Written 3h00 hours
Documentation:
Allowed with restrictions
Calculator:
Allowed
Evaluation:

Final exam: 60%
Series of quizzes during the class: 40%
Participation: 10%

Retake

Exam:
Written 3h00 hours
Documentation:
Allowed with restrictions
Calculator:
Allowed
Evaluation:

Retake exam: 60%
Series of quizzes during the class: 40%
Participation: 10%



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