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Alternative Investments

  • Teacher(s):   T.Cho  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Autumn Semester 2021-2022, 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
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[warning] This course syllabus is currently edited by the professor in charge. Please come back in a few days. --- For your information only, here is the old syllabus :

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
Calculator:
Allowed
Evaluation:

A = 60% final exam + 40% HW + bonus (optional group presentation, 10%)

B = 100% final exam + bonus (optional group presentation, 10%)

Final grade = max (A, B)

On-line exam


 

Retake


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

A = 60% final exam + 40% HW + bonus (optional group presentation, 10%)

B = 100% final exam + bonus (optional group presentation, 10%)

Final grade = max (A, B)



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