Asset pricing [ LLSMS2016 ]
5.0 crédits ECTS
30.0 h
1q
| Teacher(s) |
Sercu Piet ;
|
| Language |
English
|
Place
of the course |
Louvain-la-Neuve
|
| Main themes |
The course covers the different strategies commonly used in portfolio management. For equities, we will focus on multi-factor model and for bonds, we will analyze interest rates based strategies as well as issuer selectivity. Performance measurement and attribution for equities, bonds and balanced portfolio are covered in the second part of the course.
|
| Aims |
Students should be able to set up a portfolio that meets investors' expectations in terms of risk-return trade-off and to measure and attribute the performance over a reference period.
|
| Content |
The main topics of this course are related to active portfolio strategies. We will analyze market timing and selectivity in the context of the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). A case study helps the student to better understand the implementation of such strategies and the tools of performance measurement and attribution. The case study uses market data extract from Datastream.
Content
Active market timing
Selectivity
Interest based strategies
Multi-factor model
Arbitrage Pricing Theory (APT)
Hedge funds strategies
Performance measurement (Sharpe ratio, Jensen's alpha, Information ratio, Sortino,.)
Performance attribution (Brinson et all., Singer & Karnowski)
Methods
In-class activities
- Lectures
- Project based learning
At home activities
- Paper work
|
| Other information |
Prerequisites (ideally in terms of competiencies)
Portfolio theory (Markowitz, CAPM), equity and bond valuation, statistic.
Evaluation : Class participation and oral examination, in French or English
Final evaluation is based on the paper work for 1/3 of the final note. 2/3 of the final note results from an written exam.
Support :
Books and articles available at the library (either paper or electronic review). Slides that summarize lecture contents are available on i-campus.
References :
Provide during the class
Internationalisation
- international content (does the course tackle international issues related to the course content ?)
- international case study
Corporate features
- corporate guest
Skills
- team work
Techniques and tools for teaching and learning
- IT tools
|
Cycle et année
d'étude |
> Master of arts in Business engineering
> Master [120] in Management
|
Faculty or entity
in charge |
> CLSM
|
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