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IESEG School of Management ( IÉSEG )

Code Cours :



Niveau Année de formation Période Langue d'enseignement 
Professeur(s) responsable(s)A.TARNAUD
Intervenant(s) GATFAOUI Hayette (Paris) DAGUET Patrick (Paris) ALLES RODRIGUEZ Alexandre (Lille) TARNAUD Albane Christine (Lille)

Pré requis

• Introduction to Financial Markets.
• Corporate Finance Fundamentals.
• Basic notions in Statistics and Mathematics.
• Bloomberg

Objectifs du cours

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.

Contenu du cours

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.

Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00  
Independent study
Group Project6,00  
Estimated personal workload8,00  
Individual Project20,00  
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Tutorial
  • Presentation
  • Interactive class


The students are evaluated on their regular work and understanding during the week of intensive course, + on their later work and understanding on applications (a group project).

Type de ContrôleDuréeNombrePondération
Final Exam
Written exam2,00140,00
Group Project0,00130,00
TOTAL     100,00


  • 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 -

Ressources internet

* Informations non contractuelles et pouvant être soumises à modification
Vidéo : Un campus à vivre
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