FM406E Half Unit
Topics in Portfolio Management
This information is for the 2020/21 session.
Teacher responsible
Dr Michela Verardo
Availability
This course is available on the MSc in Finance (part-time). This course is not available as an outside option.
Pre-requisites
Students must have completed Corporate Finance (FM422E) and FM423E.
Course content
- Portfolio optimization and the Black-Litterman model
- Dynamic Investment Strategies
- Selecting and Monitoring Portfolio Managers: Mutual funds and hedge funds
- Transactions Costs and Liquidity Risk
The course covers a wide range of topics in portfolio management, with a strong focus on empirical applications. The first part of the course reviews the basics of portfolio theory and develops the Black-Litterman approach to portfolio optimization. The second part of the course introduces students to the implementation of several dynamic investment strategies and to the estimation of their performance; portfolio strategies include size, value, momentum, betting-against-beta, and quality-minus-junk. The third part of the course focuses on selecting and monitoring portfolio managers, with particular emphasis on the identification of selectivity, allocation, and timing skills for mutual funds and hedge funds. The last part of the course examines trading costs and liquidity risk, as well as their impact on the profitability of investment strategies. The course is based on recent empirical studies and applied exercises using financial data.
Teaching
30 hours of lectures in the MT.
Formative coursework
Regular coursework will be completed, handed in and marked as part of formative assessment for this course.
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: Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin; 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.
Assessment
Continuous assessment (100%) in the MT.
Important information in response to COVID-19
Please note that during 2020/21 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the situation of students in attendance on campus and those studying online during the early part of the academic year. For assessment, this may involve changes to mode of delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Key facts
Department: Finance
Total students 2019/20: 26
Average class size 2019/20: 27
Controlled access 2019/20: Yes
Value: Half Unit
Personal development skills
- Application of information skills
- Application of numeracy skills
- Commercial awareness
