Portfolio Management

Aim

After the course the student should be able to:

• explain management strategies for financial portfolios
• use modern portfolio theory to determine optimal management
• develop and use single- and multi-factor models to predict future expected portfolio performance
• evaluate portfolio management with modern portfolio theory

Content

• Portfolio management: Asset classes; Active/passive management; Hedge funds
• Basic return and risk calculations
• Markowitz portfolio selection theory
• Capital Asset Pricing Model: Basic and modified versions
• Multi-factor models: Arbitrage Pricing Theory and empirical models
• Performance measurement with single- and multi-factor models.
• Methods for choice of fund manager and decomposition of manager performance Teaching and working methods Lectures and computer exercises. Examination PRA2Written and oral presentation of project work6 creditsU, GMUN1Oral test0 creditsU, 3, 4, 5Examination will be written and oral through both group project work with a report and presentation, and a written test to receive a Pass result on the course. There is also a voluntary oral test to attain a higher grade. Grades for examination modules are decided in accordance with the assessment criteria presented at the start of the course. Grades Four-grade scale, LiU, U, 3, 4, 5 Other information Supplementary courses: Financial optimization About teaching and examination languageThe teaching language is presented in the Overview tab for each course. The examination language relates to the teaching language as follows: If teaching language is “Swedish”, the course as a whole could be given in Swedish, or partly in English. Examination language is Swedish, but parts of the examination can be in English.If teaching language is “English”, the course as a whole is taught in English. Examination language is English.If teaching language is “Swedish/English”, the course as a whole will be taught in English if students without prior knowledge of the Swedish language participate. Examination language is Swedish or English depending on teaching language.OtherThe course is conducted in such a way that there are equal opportunities with regard to sex, transgender identity or expression, ethnicity, religion or other belief, disability, sexual orientation and age.The planning and implementation of a course should correspond to the course syllabus. The course evaluation should therefore be conducted with the course syllabus as a starting point. The course is campus-based at the location specified for the course, unless otherwise stated under “Teaching and working methods”. Please note, in a campus-based course occasional remote sessions could be included. Department Institutionen för ekonomisk och industriell utveckling Course literature Amenc och Le Sourd: Portfolio Theory and Performance Analysis