Établissement
Matières
FINANCE
Responsable(s)
R.JOLIET
Intervenant(s)
Robert Joliet
Présentation
Prérequis
Basic Calculus
Introduction to Financial Markets
Probability and Statistics in Finance
Introduction to Financial Markets
Probability and Statistics in Finance
Objectifs
At the end of the course, the student should be able to:
1. Understand how markets value securities
2. Express investors' preferences by a utility function
2. Achieve a general understanding of the capital and asset allocation process
3. Apply modern portfolio theory to the construction of an efficient portfolio
4. Implement basic asset allocation and risk management techniques
5. Evaluate portfolio performance
More generally, the student should be able to:
1. Construct expert knowledge from cutting-edge information
2. Communicate effectively in English
3. Make effectual organizational decisions
4. Effectively apply in-depth specialized knowledge to take advantage of contemporary opportunities in their professional field
1. Understand how markets value securities
2. Express investors' preferences by a utility function
2. Achieve a general understanding of the capital and asset allocation process
3. Apply modern portfolio theory to the construction of an efficient portfolio
4. Implement basic asset allocation and risk management techniques
5. Evaluate portfolio performance
More generally, the student should be able to:
1. Construct expert knowledge from cutting-edge information
2. Communicate effectively in English
3. Make effectual organizational decisions
4. Effectively apply in-depth specialized knowledge to take advantage of contemporary opportunities in their professional field
Présentation
The objective of the course is to apply theoretical and analytical concepts to portfolio management and wealth planning. 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.
Part I : Portfolio Concepts and Mean-Variance Portfolio Analysis
1. Risk aversion, expected utility and capital allocation across risky and risk-free assets
2. Measuring risk and return for a single asset
3. Measuring portfolio risk and return
4. Portfolio diversification, efficient frontier and the two-fund theorem
5. Portfolio selection and the separation theorem
Part II : Capital Market Theory and Capital Asset Pricing Model
1. Capital market theory
2. Capital asset pricing model
3. Single-index model
4. Link between CAPM and single-index model
5. Portfolio performance evaluation
Part I : Portfolio Concepts and Mean-Variance Portfolio Analysis
1. Risk aversion, expected utility and capital allocation across risky and risk-free assets
2. Measuring risk and return for a single asset
3. Measuring portfolio risk and return
4. Portfolio diversification, efficient frontier and the two-fund theorem
5. Portfolio selection and the separation theorem
Part II : Capital Market Theory and Capital Asset Pricing Model
1. Capital market theory
2. Capital asset pricing model
3. Single-index model
4. Link between CAPM and single-index model
5. Portfolio performance evaluation
Modalités
Organisation
Type | Amount of time | Comment | |
---|---|---|---|
Présentiel | |||
Cours interactif | 16,00 | ||
Travail personnel | |||
Individual Project | 25,00 | ||
Charge de travail personnel indicative | 15,00 | ||
Overall student workload | 56,00 |
Évaluation
The assessment for this course consists of an individual project usingThomson Reuter Eikon terminals, to apply the portfolio concepts and conduct a mean-variance analysis. Each student will work on a different equity market.
Ressources
Bibliographie
• BODIE, Z., KANE, A., and MARCUS, A., 2014. INVESTMENTS, McGraw-Hill Education, 10th Global Edition (Chapters 5-6-7-8-9) -
• Supplementary reading: Elton, E., Gruber, M., Brown, S. and Goetzmann, W. Modern Portfolio Theory and Investment Analysis. Wiley 8th Edition 2011. -
• Supplementary reading: Elton, E., Gruber, M., Brown, S. and Goetzmann, W. Modern Portfolio Theory and Investment Analysis. Wiley 8th Edition 2011. -