Objectifs

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

In this course, we will explore:

• Various methods of alternative risk management and some other alternative investment/trading strategies
• 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 a good understanding in investments; advanced quantitative skills would be very helpful.

Evaluation

1ère tentative

Examen:

Ecrit 3h00 heures

Documentation:

Autorisée avec restrictions

Calculatrice:

Autorisée avec restrictions

Evaluation:

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

All calculators are allowed except those with communication features

Rattrapage

Examen:

Ecrit 3h00 heures

Documentation:

Autorisée avec restrictions

Calculatrice:

Autorisée avec restrictions

Evaluation:

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

All calculators are allowed except those with communication features