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MULTI-MOMENT PORTFOLIOS: AN INTRODUCTION

2017-2018

IESEG School of Management ( IÉSEG )

Code Cours :

1718-IÉSEG-M1S1-FIN-MA-EI82UE

FINANCE


Niveau Année de formation Période Langue d'enseignement 
Master1S1English
Professeur(s) responsable(s)K.KERSTENS
Intervenant(s)K.KERSTENS


Pré requis

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.
Maximum 25 students allowed.

Objectifs du cours

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

Contenu du cours

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


Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class16,00  
Independent work
Research8,00  
Independent study
Estimated personal workload8,00   Team presentations
Charge de travail globale de l'étudiant32,00  

Méthodes pédagogiques

  • Tutorial
  • Presentation
  • E-learning
  • Research
  • Interactive class
  • Simulation / Role play


Évaluation

Participation in discussions and exercises (some in a team of 2): 50%
Traditional exam with mainly multiple choice questions: 50%

Type de ContrôleDuréeNombrePondération
Continuous assessment
Participation16,00130,00
Others
Written Report2,00135,00
presentation
statement2,00135,00
TOTAL     100,00

Bibliographie

  • Recommended book: Jurczenko, E., B. Maillet (eds) (2006) Multi-moment Asset Allocation and Pricing Models, New York, Wiley. -


Ressources internet



 
* Informations non contractuelles et pouvant être soumises à modification
 
 
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