FINA0053-1 : Investments and Portfolio Management

Study Programmes 2015-2016

FINA0053-1

Investments and Portfolio Management

Duration :

30h Th

Number of credits :

Master in economics : general (120 ECTS)		5
Master in management (120 ECTS)		5
Master in business engineering (120 ECTS)		5
Master in mathematics (120 ECTS)		5
Master in mathematics (120 ECTS)		5

Lecturer :

Georges Hübner

Language(s) of instruction :

English language

Organisation and examination :

Teaching in the second semester

Units courses prerequisite and corequisite :

Prerequisite or corequisite units are presented within each program

Course contents :

The course follows the whole investment process. Its logical follow-ups are the courses of Risk Management (BAM, FE, E&F), Financial Engineering (FE, E&F), Estate and Financial Planning (BAM), among others
Course structure (following "Analysis of Investments & Management of Portfolios" (10th ed), by Keith C. Brown & Frank K. Reilly (henceforth B&R)
Background (based on readings prepared before the course starts)
General background B&R Part 1: THE INVESTMENT BACKGROUND: pre-reading
2. For equity markets: Overview of equity securities by Ryan C. Fuhrmann, CFA and Asjeet S. Lamba, CFA):

Types of equity securities and their characteristics
Equity markets : characteristics, institutions, and benchmarks

3. For bond markets: (i) Fixed-income securities: defining elements by Moorad Choudhry, PhD, and Stephan E. Wicox, PhD, CFA (ii) Fixed-income markets: Issuance, trading and funding by Moorad Choudhry, PhD, Steven V. Mann, PhD, and Lavone F. Whitmer, CFA

Types of fixed income securities and their characteristics
Fixed Income markets : characteristics, institutions and benchmarks

Detailed plan:
A. Efficient capital markets
1. Efficient Market Hypotheses
2. Tests and Results of the Hypotheses
3. Behavioral Finance
4. Implications of Efficient Capital Markets
Reading B&R Ch 6. Efficient Capital Markets.
B - On the way to the CAPM
1. Risk and return: assumptions
2. Markowitz Portfolio Theory
3. The Capital Market Line
4. The Security Market Line
5. CAPM: Theory vs. Practice
Readings
B&R Ch 7. An Introduction to Portfolio Management. B&R Ch 8. An Introduction to Asset Pricing Models.
  C - Multifactor Models
1. Introduction to Multifactor Models
2. Arbitrage Pricing Theory
3. Empirical Multifactor Models
4. Style Analysis Reading B&R Ch 9. Multifactor Models of Risk and Return.     D - Passive and Active Strategies
1. Passive Strategies
2. Fundamental Active Strategies
3. Technical Active Strategies
4. Asset Allocation Readings
B&R Ch 15. Equity Portfolio Management Strategies. B&R Ch 16. Technical Analysis.
E - Bond Portfolio Management
1. Bond Valuation and Yields
2. The Yield Curve
3. Duration and Convexity: an Introduction
4. Bond Investment Strategies
Readings
B&R Ch 18. The Analysis and Valuation of Bonds. B&R Ch 19. Bond Portfolio Management Strategies.
F - Alternative Investments
1. The Notion of Alternative Investments
2. Hedge Funds
3. Issues in Hedge Funds Investments
4. Other Alternative Instruments
5. Alternatives²
Reading B&R Ch 24. Professional Money Management, Alternative Assets, and Industry Ethics.
+ extra material posted on the website G - Portfolio Performance
1. Traditional performance measures
2. Alternative performance presentation methods
3. Scope and use of these measures
4. Preference-related measures
Reading B&R Ch 25. Evaluation of Portfolio Performance.
+ extra material posted on the website
H - Special topics
based on guest lectures (specific material, attendance is compulsory)

Learning outcomes of the course :

Understand the whole process of investment through links between several notions seen in other courses and practical applications.
This course contributes to the following Intended Learning Outcomes :

ILO-3 : To understand, in management situations, the transversal tools of quantitative reasoning, information systems and project management

ILO-5 : Integrate autonomously researched information, tools, knowledge and context to build and propose, either individually or as part of a team, original, creative and viable solutions to concrete complex management problems, whether real or simulated, taking into account, when necessary, the human, social and legal context.

ILO-7 : Being capable of professional team work

ILO-9 : Developing a critical sense (arguing)

ILO-12 : Professional capacity for oral communication

ILO-13 : Professional capacity for written communication

Prerequisite knowledge and skills :

This course requires few prerequisites. However, some acquaintance with financial markets and instruments is assumed (see prereadings). Familiarity with the cash flows discounting and basic statistical techniques (descriptive statistics, hypothesis testing and linear regression) are also assumed.

Planned learning activities and teaching methods :

Lectures
Exercise sessions (with the dealing room)
A case study based on the construction, the analysis and the control of a portfolio

Mode of delivery (face-to-face ; distance-learning) :

face-to-face