Actualités et agenda
Nos formations
Établissement
Langue d'enseignement
English
Matières
FINANCE
Responsable(s)
A.TARNAUD
Intervenant(s)
GATFAOUI Hayette (Paris)
DAGUET Patrick (Paris)
ALLES RODRIGUEZ Alexandre (Lille)
TARNAUD Albane (Lille)
DAGUET Patrick (Paris)
ALLES RODRIGUEZ Alexandre (Lille)
TARNAUD Albane (Lille)
Présentation
Prérequis
• Finance Fundamentals,
• Introduction to Financial Markets
• Basic notions in Statistics and Mathematics (optimization)
• Introduction to Reuters
• Introduction to Financial Markets
• Basic notions in Statistics and Mathematics (optimization)
• Introduction to Reuters
Objectifs
At the end of the course the student should be able to apply theoretical and analytical concepts of utility theory and the mean-variance framework of Markowitz to portfolio management and wealth planning. Students should be able to collect accurate data for portfolio selection and build a portfolio of plain financial assets in a mean-variance performance perspective. They should be able to assess existing investment opportunities and form expectations about future investments' performance.
The completion of the project also ensures that students work with rigor and precision, are well-organized in order to ensure team efficiency, good communication and efficient time management.
The completion of the project also ensures that students work with rigor and precision, are well-organized in order to ensure team efficiency, good communication and efficient time management.
Présentation
It builds on the modern portfolio theory as developed by Markowitz and focuses on basic principles of the portfolio management process that remain important today.
One of the main themes is the risk-return trade-off. Higher expected returns generally come along with the need to bear greater investment risk. But how can we measure risk? What should be the (equilibrium) quantitative trade-off between risk and expected return? Specifically, we devote attention to the effect of diversification on portfolio risk, as well as the implications of efficient diversification for the proper measurement of risk and the risk-return relationship.
The course also places great emphasis on capital allocation between risky assets and and risk-free assets and asset allocation (between risky assets). Asset allocation is the primary determinant of the risk-return profile of the investment portfolio. Finally, we discuss ex-ante and ex-post measures of portfolio performance, in order to develop a framework for ranking portfolios.
One of the main themes is the risk-return trade-off. Higher expected returns generally come along with the need to bear greater investment risk. But how can we measure risk? What should be the (equilibrium) quantitative trade-off between risk and expected return? Specifically, we devote attention to the effect of diversification on portfolio risk, as well as the implications of efficient diversification for the proper measurement of risk and the risk-return relationship.
The course also places great emphasis on capital allocation between risky assets and and risk-free assets and asset allocation (between risky assets). Asset allocation is the primary determinant of the risk-return profile of the investment portfolio. Finally, we discuss ex-ante and ex-post measures of portfolio performance, in order to develop a framework for ranking portfolios.
Modalités
Organisation
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 12,00 | ||
| Coaching | 4,00 | ||
| Autoformation | |||
| Lecture du manuel de référence | 12,00 | ||
| Travail personnel | |||
| Group Project | 12,00 | ||
| Charge de travail personnel indicative | 10,00 | ||
| Overall student workload | 50,00 | ||
Évaluation
The emphasis will be put on practice during the course (the basic theoretical knowledge will be provided but not in depth) and practical understanding and capacity to build a portfolio will be tested with the group project. Once acquired, the students can deepen their understanding of all related theoretical notions: they will learn them throughout the semester until the final exam. The final exam on 50% will assess both what remains of practice and the acquisition and understanding of the theoretical grounds. An MCQ on 10% during the course week will assess the knowledge of pre-requisite (various mathematical - yet simple - tools that are key to the understanding and practice).
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Contrôle continu | |||
| QCM | 0,00 | 0 | 10,00 |
| Examen (final) | |||
| Examen écrit | 0,00 | 0 | 50,00 |
| Autres | |||
| Projet Collectif | 0,00 | 0 | 40,00 |
| TOTAL | 100,00 | ||
Ressources
Bibliographie
BODIE, Z., KANE, A., and MARCUS, A., 2014. INVESTMENTS, McGraw-Hill Education, 10th Global Edition (Chapters 5-6-7-8-9) -
Elton, E., Gruber, M., Brown, S. and Goetzmann, W. Modern Portfolio Theory and Investment Analysis. Wiley 8th Edition 2011 -
Elton, E., Gruber, M., Brown, S. and Goetzmann, W. Modern Portfolio Theory and Investment Analysis. Wiley 8th Edition 2011 -
Ressources Internet