MULTI-MOMENT PORTFOLIOS: AN INTRODUCTION (Intensive)
Année du cours : 1 année(s)
Etablissement : IÉSEG School of Management
Langue : English
Formation(s) dans laquelle/lesquelles le cours apparait :
Période : S1
Basic portfolio theory course (Mean-variance Markowitz model).
Basic optimization course (Linear Programming, Integer Programming, Non-Linear Programming).
Basic knowledge of Excel Solver add-in.
The limitations of the traditional mean-variance portfolio approach are well-known, but unfortunately few alterative portfolio approaches have received widespread recognition.
The course focuses on recent attempts to include higher order moments (e.g., skewness and kurtosis) in portfolio modelling.
This course serves 3 purposes:
(i) to develop an intuitive understanding of investor preferences regarding higher moments,
(ii) the development of multi-dimensional portfolio and fund rating models,
(iii) the application of these tools and the managerial interpretation of its results.
At the end of the course, the student should be able to:
– understand higher order moments
– understand the typical results of the higher order moments portfolios
The topics treated in the course include the following:
– MV Tradition
– Alternative Mean- Risk models
– Portfolio Performance: Need to Move Beyond MV
– Multidimensional Portfolio Performance: Adding Skewness
– Multidimensional Portfolio Performance: Multi-Horizon
– An Alternative MVS Portfolio Method: Polynomial Goal Programming (PGP)
– Problems of Traditional Performance Measures
– Mutual Fund Rating
