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

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

Calculatrice:

Autorisée

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

Rattrapage

Examen:

Ecrit 3h00 heures

Documentation:

Autorisée

Calculatrice:

Autorisée

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)