MODULE OUTLINE
The objective of this module is to describe the process of portfolio management. The module is specifically designed for students with an interest in becoming practitioners in portfolio management. The module covers the main theories relating to portfolio management and pays special attention to the practicalities of the implementation of these theories. The module content will therefore contain a balance between theoretical models and empirical evidence.
MODULE AIMS
This module is designed to allow students to:
1) Introduce students to the management of equity and bond portfolio management;
2) To apply the techniques taught to everyday business contexts.
3) Understand the wider implications of the global growth in derivatives.
LEARNING OUTCOMES
On completion of this module students should be able to:
1) understand the basic portfolio theories and show a critical awareness of the most recent developments in portfolio analysis;
2) evaluate critically the core empirical evidence related to the fundamental debates on issues such as the CAPM and market efficiency;
3) implement a systematic application of the portfolio management techniques taught in practical scenarios;
4) assess and evaluate the importance of interest rate fluctuations and the techniques used to estimate risk and return of a bond investment.
TEACHING MODE
The module consists of ten three hour sessions spread over five weeks that are delivered in the Spring term. Students will be encouraged to engage in participative learning, presentations and intensive group work.
MODULE SYLLABUS
An outline lecture schedule for this module would be:
1. Portfolio Theory (1)
Topics: The portfolio selection problem; Utility theory; Indifference curves; Expected return and risk; Covariance and correlation; Diversification.
RB Ch7, CN Ch1.
2. Portfolio Theory (2)
Topics: Markowitz efficient frontier (MEF); Optimal portfolio; The MEF and asset correlations; Tobin extension; The linear efficient set.
RB Ch7, CN Ch56.
3. Asset Pricing Models (1)
Topics: Asset pricing problem; Assumptions of the CAPM; Separation Theorem; Market Model.
RB Ch8, CN Ch 5.
4. Asset Pricing Models (2)
Topics: SML; DCF and CAPM; APT; Empirical evidence; Using APT in portfolio management.
RB Ch9, CN Ch 78.
5. Evaluation of Portfolio Performance
Topics: Treynor measure; Sharpe measure; Jensen measure; Components of investment performance; Market timing skills.
RB Ch27
6. Market Efficiency
Topics: What is an efficient market? How is efficiency tested for? Implications for security analysis; Empirical evidence.
RB Ch 6, CN Ch 3.
7. Equity Portfolio Management Strategies
Topics: Index portfolio construction techniques; Tracking error; fundamental strategies; Technical Strategies; Anomalies and attributes. RB Ch16.
8. Interest rates and bond pricing
Topics: Real and nominal rates of interest; money demand and supply; yields and risk; the term structure of interest rates.
RB Ch 1718.
9. Bond Portfolio Management Strategies
Topics: The use of duration in portfolio management; aggressive vs defensive bond portfolio management;
RB 19.
10. The financial crisis and lessons for portfolio management
The objective of this module is to describe the process of portfolio management. The module is specifically designed for students with an interest in becoming practitioners in portfolio management. The module covers the main theories relating to portfolio management and pays special attention to the practicalities of the implementation of these theories. The module content will therefore contain a balance between theoretical models and empirical evidence.
MODULE AIMS
This module is designed to allow students to:
1) Introduce students to the management of equity and bond portfolio management;
2) To apply the techniques taught to everyday business contexts.
3) Understand the wider implications of the global growth in derivatives.
LEARNING OUTCOMES
On completion of this module students should be able to:
1) understand the basic portfolio theories and show a critical awareness of the most recent developments in portfolio analysis;
2) evaluate critically the core empirical evidence related to the fundamental debates on issues such as the CAPM and market efficiency;
3) implement a systematic application of the portfolio management techniques taught in practical scenarios;
4) assess and evaluate the importance of interest rate fluctuations and the techniques used to estimate risk and return of a bond investment.
TEACHING MODE
The module consists of ten three hour sessions spread over five weeks that are delivered in the Spring term. Students will be encouraged to engage in participative learning, presentations and intensive group work.
MODULE SYLLABUS
An outline lecture schedule for this module would be:
1. Portfolio Theory (1)
Topics: The portfolio selection problem; Utility theory; Indifference curves; Expected return and risk; Covariance and correlation; Diversification.
RB Ch7, CN Ch1.
2. Portfolio Theory (2)
Topics: Markowitz efficient frontier (MEF); Optimal portfolio; The MEF and asset correlations; Tobin extension; The linear efficient set.
RB Ch7, CN Ch56.
3. Asset Pricing Models (1)
Topics: Asset pricing problem; Assumptions of the CAPM; Separation Theorem; Market Model.
RB Ch8, CN Ch 5.
4. Asset Pricing Models (2)
Topics: SML; DCF and CAPM; APT; Empirical evidence; Using APT in portfolio management.
RB Ch9, CN Ch 78.
5. Evaluation of Portfolio Performance
Topics: Treynor measure; Sharpe measure; Jensen measure; Components of investment performance; Market timing skills.
RB Ch27
6. Market Efficiency
Topics: What is an efficient market? How is efficiency tested for? Implications for security analysis; Empirical evidence.
RB Ch 6, CN Ch 3.
7. Equity Portfolio Management Strategies
Topics: Index portfolio construction techniques; Tracking error; fundamental strategies; Technical Strategies; Anomalies and attributes. RB Ch16.
8. Interest rates and bond pricing
Topics: Real and nominal rates of interest; money demand and supply; yields and risk; the term structure of interest rates.
RB Ch 1718.
9. Bond Portfolio Management Strategies
Topics: The use of duration in portfolio management; aggressive vs defensive bond portfolio management;
RB 19.
10. The financial crisis and lessons for portfolio management