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PORTFOLIO MANAGEMENT AND ANALYSIS

2016-2017

IESEG School of Management ( IÉSEG )

Code Cours :

1617-IÉSEG-M1S1-FIN-MA-FI17UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Master1S1English
Professeur(s) responsable(s)R.JOLIET
Intervenant(s)Robert JOLIET, Taufique SAMDANI


Pré requis

Introduction to Bloomberg
Introduction to Financial Markets
Statistics and Probability in Finance

Objectifs du cours

At the end of the course, the student should be able to:
1. Understand how markets value securities
2. Achieve a general understanding of the fund management process
3. Apply portfolio theory to the creation of an efficient portfolio
4. Apply modern techniques to asset allocation and fund management
5. Evaluate the fund performance.

Contenu du cours

The objective of this 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.

Course outline:

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 d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00  
Independent study
Group Project20,00  
Estimated personal workload14,00  
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Project work
  • Interactive class


Évaluation

The assessment for this course consists of a final exam and a project using Bloomberg terminals, to apply the different topics.

Type de ContrôleDuréeNombrePondération
Final Exam
Written exam2,50150,00
Others
Individual Project15,00150,00
TOTAL     100,00

Bibliographie

  • Investments - Bodie, Z., Kane, A., and Marcus, A. (McGraw-Hill Education. 10th Global Edition 2014) -

  • Modern Portfolio Theory and Investment Analysis - Elton, E., Gruber, M., Brown, S., and Goetzmann, W. (Wiley 8th Edition 2011) -

  • Financial Theory and Corporate Policy - Copeland, T.E., Weston, J.F., and Shastri, K. (Pearson Addison Wesley. 4th Edition 2005) -


Ressources internet



 
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