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| FINA0012-1 | Asset and Portfolio Management
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| Duration : | 24h Th |
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| Credits/ECTS : |
| Master in Economical Sciences, in-depth approach, 1st year | | Premier quadrimestre | | 5 |
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| Master in Management Sciences, in-depth approach, 1st year | | Premier quadrimestre | | 4 |
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| Master in Economical Sciences, didactic approach, 1st year | | Premier quadrimestre | | 5 |
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| Master in Management Sciences, didactic approach, 1st year | | Premier quadrimestre | | 4 |
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| Master in Business Engineering, didactic approach, 1st year | | Premier quadrimestre | | 4 |
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| Master in Economical Sciences, Professional Focus in Economic Policies and Analysis, 1st year | | Premier quadrimestre | | 5 |
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| Master in Management Sciences, professional Focus in Entrepreneurship, 1st year | | Premier quadrimestre | | 4 |
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| Master in Management Sciences, professional Focus, 1st year | | Premier quadrimestre | | 4 |
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| Master in Management Sciences, professional Focus, 2nd year | | Premier quadrimestre | | 4 |
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| Master in Management Sciences, professional Focus (Full english), 1st year | | Premier quadrimestre | | 4 |
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| Master in Management Sciences, professional Focus (Full english), 2nd year | | Premier quadrimestre | | 4 |
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| Master in Management Engineering, professional Focus, 1st year | | Premier quadrimestre | | 4 |
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| Master in Management Engineering, professional Focus, 2nd year | | Premier quadrimestre | | 4 |
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| Master en sciences de gestion, à finalité spécialisée en management, 1st year | | Premier quadrimestre | | 4 |
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| Holder(s) : | Danielle Sougné |
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| Language : | Langue anglaise |
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| Course contents : | (1) Underlying Philosophy
The course is organized around two important themes:
A. Equity Portfolio Management
B. Bond Portfolio Management
(2) Organization and Content
This course is composed of 12 lectures.
Part One: Asset Management: Equity Portfolio Management
A. Asset Pricing Models
1. Capital Asset Pricing Model
2. Arbitrage Pricing Theory
B. Analysis of Common Stocks
3. Stock Market Analysis, Industry Analysis, Company Analysis and Stock Selection
4. Technical Analysis and Equity Portfolio Management Strategies
5. Asset Valuation Models part one
6. Asset Valuation Models part two
7. Simulations (to be confirmed): Equity Portfolio Management
Part Two: Bond Portfolio Management:
C. Bond Valuation
7. Bond Analysis (a refresh), Analysis of Bonds with Embedded Options
8. Analysis of Convertible Bonds
D. Mortgage Backed Securities and Asset Backed Securities Analysis and Valuation
9. Analysis of MBS
10. Analysis of ABS
11. Bond Portfolio Strategies
12. Simulations (to be confirmed): Bond and MBS Portfolio Management |
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| Prerequisites : | This course requires few prerequisites. However, some acquaintance with financial markets and instruments is assumed. Familiarity with the cash flows discounting and basic statistical techniques (descriptive statistics, hypothesis testing and linear regression) are also assumed. Acquaintance with the course of Investments would be an advantage. |
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| Organization : | Wednesday 12 November 2008, 1.30 p.m. - 3.30 p.m.
Friday 14 November 2008, 1 p.m. - 3 p.m.
Wednesday 19 November 2008, 1.30 p.m. - 3.30 p.m.
Friday 21 November 2008, 1 p.m. - 3 p.m.
Wednesday 26 November 2008, 1.30 p.m. - 3.30 p.m.
Friday 28 November 2008, 1 p.m. - 4 p.m.
Wednesday 3 December 2008, 1.30 p.m. - 3.30 p.m.
Friday 5 December 2008, 1 p.m. - 3 p.m.
Wednesday 10 December 2008, 1.30 p.m. - 3.30 p.m.
Friday 12 December 2008, 1 p.m. - 4 p.m.
Wednesday 17 December 2008, 1.30 p.m. - 3.30 p.m.
Friday 19 December 2008, 1 p.m. - 4 p.m.
Total = 24 H |
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| Written notes : | Part I:
Reilly, F.K., Brown, K.C., 2006. Investment Analysis and Portfolio Management. 8th ed. Thomson South-Western.
Suggested for CAPM and APT:
Danthine, J. P., Donaldson, J. B., 2005. Intermediate Financial Theory. 2nd ed Elsevier.
Part II:
Fabozzi, Frank J., 2007. Bond Markets, Analysis and Strategies. 6th edition 2007, Prenctice Hall. |
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| Assessment : | written exam (3-hour exam, closed books) : 70% (individual)
Case study: valuation and portfolio management (to be confirmed): 30% (group: 3-4 students) |
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| Contacts : | Professor: Alain COEN e-mail : alain.coen@ulg.ac.be
Research Assistant: Robert JOLIET, N1 Office 101
Tel.: 04/232.74.38. e-mail: R.joliet@ulg.ac.be |
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