FM445 Half Unit
Portfolio Management
This information is for the 2019/20 session.
Teacher responsible
Dr Domingos Romualdo
Availability
This course is available on the Global MSc in Management, MSc in Accounting and Finance, MSc in Econometrics and Mathematical Economics, MSc in Economics and Management, MSc in Financial Mathematics and MSc in Risk and Finance. This course is not available as an outside option.
Global MSc in Management ('Accounting and Finance' and 'Finance' concentrations only).
This course is available to other students from the Departments of Economics, Mathematics, and Statistics where regulations permit. This course is not available as an outside option.
Course content
This course aims to cover the main topics in equity portfolio management. Some of the topics covered in the course include: Portfolio optimization techniques; Multi-factor models and their applications; Trading strategies; International portfolio management and currency hedging; Trading costs; Portfolio performance measurement and attribution; Style analysis; Mutual funds; Hedge funds. The course is based on a number of empirical applications and case studies, so that students can gain a better understanding of implementation issues related to managing an equity portfolio.
Teaching
20 hours of lectures and 10 hours of seminars in the LT.
Formative coursework
Regular classworks will be completed, handed in and marked as part of formative assessment for this course. For the most part, the classwork is based on Excel applications of the models and empirical studies covered in lectures.
Indicative reading
A study pack will include lecture notes and case studies. All relevant articles will be made available during the course. Useful references are Modern portfolio theory and investment analysis, by E. J. Elton, M. J.Gruber, S. J. Brown, and W. N. Goetzmann, Wiley Press; Modern investment management, by Bob Litterman and the Quantitative Resource Group, GSAM, Wiley Press; Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin.
Assessment
Exam (80%, duration: 2 hours, reading time: 10 minutes) in the summer exam period.
Coursework (20%).
The 20% coursework comprises five homework assignments and one project.
Key facts
Department: Finance
Total students 2018/19: 88
Average class size 2018/19: 14
Controlled access 2018/19: No
Value: Half Unit
Personal development skills
- Problem solving
- Application of numeracy skills
- Commercial awareness
