Portfolio Management
[LSMS2011]
[30h] 5 credits
Teacher(s): Nihat Aktas, Christophe Dispas(supplée Nihat Aktas)
Language: French
Level: Second
Aims
a) systemizing and enhancing students knowledge in financial microeconomics: individual selection of financial investments, equilibrium price in financial markets;
b) motivating students for readings of well-known articles/textbooks in the field in order to prepare professionals able to update their knowledge by themselves during their career;
c) focusing on the illustration of selected financial analysis tools to study financial market prices. Without being exhaustive, a certain number of methods will be covered: e.g. different classic approaches used in portfolio theory and in asset pricing such as the Markowitzs efficient frontier, Capital Market Line, Capital Asset Pricing Model, Arbitrage Pricing Theory, Fama&French Model, etc.).
Main themes
Efficient Capital Markets
An introduction to asset pricing models
Content and teaching methods
The asset allocation decision
Organization and functioning of securities markets
An introduction to asset pricing models ( CAPM, consumption-based model, Multifactor models)
Analysis and management of bonds
Method
The teaching is based on structured discussions laying on a well-defined reading program. To be effective students have to read and to prepare the assigned texts thoroughly before attending the class.
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)
The outline of the course and other practical information are available on the website of the course.
Reference
The course is essentially built on:
o Reilly F. et K. Brown, 2002, Investment Analysis and Portfolio Management, South Western College Publisher, 7th edition,
o Benninga S., 2000, Financial Modeling, MIT Press, 2nd edition.
Other useful references
- Copeland T., 1998, Financial Theory and Corporate Policy, Reading (Mass.), Addison Wesley, 3ème édition.
- Campbell J., A. Lo et C. MacKinlay, 1997, The econometrics of financial markets, Princeton University Press, 1ère edition (ISBN : 0691043019).
- R. Cobbaut, 1997, Théorie Financière, Paris, Economica, 4ème édition.
- Eeckhoudt L. et C. Gollier, 1992, Les risques financiers : évaluation, gestion, partage, Paris, Ediscience International, 1992.
- Elton E. et M. Gruber, 1987, Modern Portfolio Theory and Investment Analysis, New York, Wiley, 3ème édition.
- Hull J., 2002, Options, Futures and Other Derivatives, Englewood Cliffs (NJ) Prentice-Hall, 5ème édition.
-Shleifer A., 2000, Inefficient Markets : An introduction to Behavioral Finance, New York, Oxford University Press, 2000.
- Watsham T. et K. Parramore, 2002, Quantitative Methods in Finance, Thomson Learning 1ère édition (ISBN : 186152367X).
Grading method - Evaluation
The grading will be based on a written exam. The duration of the exam will be 1h30. Beside the written exam, students are asked to realize a final project by group. The topic of the final project will be posted on the website of the course on Friday October 31, 2008. Students have to return the final project for Friday January 02, 2009.
The following grading scheme will be used:
oIf the grade of the written exam is >= 8/20
- 1st session : « final project » = 60%, « written exam » = 40%;
- 2nd session : « final project » = 40%, « written exam » = 60%.
o If the grade of the written exam is < 8/20
- « final project » = 0%, « written exam » = 100%;