Actualités et agenda
Nos formations
Établissement
Langue d'enseignement
English
Matières
FINANCE
Responsable(s)
J.LEFEBVRE
Intervenant(s)
Xavier TAVARD
Présentation
Prérequis
- PORTFOLIO MANAGEMENT AND ANALYSIS (strict)
Objectifs
At the end of the course, the student should be able to:
- Explain the central role of the asset allocation within the investment process
- Design a consistent and client-specific strategic asset allocation for the long-run using the Mean-variance Analysis framework. See limitations of the approach and avoid frequent pitfalls when collecting and manipulating historical data
- Formulate long-term expectations about returns for major asset classes (cash, equities, bonds, commodities, real-estate) relating asset pricing models to macroeconomic factors
- Identify phases of the business cycle which are commonly supportive to each asset classes
- Exploit the benefit of a geographical, sector or style segmentation, especially when managing a global and diversified portfolio
- Explain the central role of the asset allocation within the investment process
- Design a consistent and client-specific strategic asset allocation for the long-run using the Mean-variance Analysis framework. See limitations of the approach and avoid frequent pitfalls when collecting and manipulating historical data
- Formulate long-term expectations about returns for major asset classes (cash, equities, bonds, commodities, real-estate) relating asset pricing models to macroeconomic factors
- Identify phases of the business cycle which are commonly supportive to each asset classes
- Exploit the benefit of a geographical, sector or style segmentation, especially when managing a global and diversified portfolio
Présentation
Empirical surveys periodically highlight the dominance of the asset class allocation as a contributor of performance over the long-run, far ahead of other investment skills such as stock picking or market timing. The course will explore how to develop a robust asset allocation, formulating and justifying recommendations to comply with the client requirementS. Students will practise in manipulating data (market prices & macroeconomic data), using application tools (optimizers, multilinear regression models):
Part 1 - Mean-Variance framework & Historical Returns approach : Recall & application through a practical case study.
Part 2 - Conditional Returns approach : modelling long-term expected returns and risk premiums using macroeconomic factors
Part 3 - Short-term Adjustment of the asset allocation to grab the positive influences of business cycles on each specific asset class
Part 4 - Extension to a global investment portfolio
Part 1 - Mean-Variance framework & Historical Returns approach : Recall & application through a practical case study.
Part 2 - Conditional Returns approach : modelling long-term expected returns and risk premiums using macroeconomic factors
Part 3 - Short-term Adjustment of the asset allocation to grab the positive influences of business cycles on each specific asset class
Part 4 - Extension to a global investment portfolio
Modalités
Organisation
| Type | Amount of time | Comment | |
|---|---|---|---|
| Présentiel | |||
| Cours interactif | 4,00 | ||
| Travaux dirigés | 8,00 | Case study : analysis of the different type of client's requirements and constraints ; develop an appropriate strategy | |
| Coaching | 4,00 | Collect market and fundamental data, Navigating in Reuters, Computation on Excel, Using optimizer programs | |
| Travail personnel | |||
| Group Project | 15,00 | Wealth management Advisory : design an client-specific strategy on the long-run and formulate recommendations on the short-run | |
| Charge de travail personnel indicative | 19,00 | ||
| Overall student workload | 50,00 | ||
Évaluation
The students will be assessed on participation and home assignment (analysis skill, reuse of knowledges, …). They will be also graded on a project work by group involving the entire examination of a client situation and the devolopment of an appropriate strategy for the long-run applying methodology and collecting information to properly convince the client.
| Control type | Duration | Amount | Weighting |
|---|---|---|---|
| Contrôle continu | |||
| Participation | 0,00 | 0 | 10,00 |
| Autres | |||
| Projet Collectif | 0,00 | 0 | 60,00 |
| Rapport écrit | 0,00 | 0 | 30,00 |
| TOTAL | 100,00 | ||