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IESEG School of Management ( IÉSEG )

Code Cours :



Niveau Année de formation Période Langue d'enseignement 
MSc in Finance1S2English
Professeur(s) responsable(s)A.RUBESAM
Intervenant(s)Alexandre RUBESAM

Pré requis

• Basics of Financial Markets.
• Basic notions in Statistics and Mathematics.
• Basics of Bloomberg

Objectifs du cours

At the end of the course, the student should be able to:
1. Understand how markets value securities,
2. Understand the portfolio management process,
3. Implement basic asset allocation,
4. Achieve the optimal risk-return relationship for an equity portfolio and examine how diversification reduces the risk of portfolios (learning objective AACSB)
5. Evaluate portfolio performance.

Contenu du cours

The objective of this course is to acquire theoretical and practical knowledge about the classic modern portfolio management framework. Using the modern portfolio theory of Markowitz, it introduces the basic principles of the portfolio management process. To this end, the well-known risk-return trade-off to which financial assets and investments are subject is introduced. The expected return represents the reward of such investment portfolios and needs to be balanced with portfolios’ risk. Large rewards usually bear greater risk. In this light, the choice of an appropriate risk measure is emphasized, and the optimal trade-off between risk and return is also defined. A particular attention is paid to portfolio diversification so as to reduce portfolios’ risk and to improve their risk-return trade-off (i.e. efficient diversification). Moreover, two important principles are emphasized among which the capital allocation between risky assets and risk-free assets, and the asset allocation between risky assets. The asset allocation process drives the risk-return trade-off of investment portfolios. Finally, portfolio performance measures are studied. Such measures help rank investment portfolios according to their performance profile (e.g. reward per unit of risk).

Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
lecture20,00   Concepts are introduced as well as case studies and applied exercises, plus in-class Excel applications
Independent work
Reference manual 's readings15,00   Reference book chapters, exercises, tutorials (Excel and course concepts), and videos
Independent study
Group Project15,00   Creating and managing a portfolio of stocks: stock picking, portfolio optimization, reporting and performance tracking
Charge de travail globale de l'étudiant50,00  

Méthodes pédagogiques

  • Project work
  • Case study
  • Coaching


1) Portfolio investment project (each group of students picks traded stocks from a selected stock exchange)
2) A final exam composed of problems and eventually well-chosen course questions (students can bring a two-sided A4 cheat sheet only devoted to valuation formulas).

Type de ContrôleDuréeNombrePondération
Final Exam
Written exam2,00150,00
Group Project15,00150,00
TOTAL     100,00


  • BODIE, Z., KANE, A., and MARCUS, A., 2014. INVESTMENTS, McGraw-Hill Education, 10th Global Edition (Chapters 5-6-7-8-9) -

  • Supplementary reading: 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
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