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Alternative Investments

  • Enseignant(s):   T.Cho  
  • Titre en français: Investissements alternatifs
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre d'automne 2020-2021, 4.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

    Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données

 

Objectifs

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.

Contenus

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

Références

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.

Pré-requis

The participants are expected to have sound understanding in "Investments" in general and basic quantitative skills.

Evaluation

1ère tentative

Examen:
Ecrit 3h00 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée
Evaluation:

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

Rattrapage

Examen:
Ecrit 3h00 heures
Documentation:
Autorisée avec restrictions
Calculatrice:
Autorisée
Evaluation:

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



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