Ce cours apparaît dans les formations suivantes :
• IÉSEG > MSc in Finance > Semestre 2 > 2,00 ECTS

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

Méthodes pédagogiques

• Project work
• Case study
• Coaching

Évaluation

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).

Bibliographie

• 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

• Resources on school intranet