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Asset Management: Théorie et Pratique

  • Teacher(s): A.Constantin (AR)
  • English title: Asset Management: Theory and Practice
  • Course given in: French
  • ECTS Credits: 3 credits
  • Schedule: Spring Semester 2018-2019, 2.0h. course (weekly average)
  •  séances
  • site web du cours course website
  • Related programme: Bachelor of Science (BSc) in Management

 

Objectives

The purpose of this class is to introduce asset management from both a theoretical and a practical perspective. It will start with an overview of the asset management industry, when we will analyse the main participants and financial instruments. We will then study the theoretical background of asset allocation and the existing performance measures. The course will dive further with the analysis of different risk factors and how they are estimated empirically. Finally, we will discuss the recent developments in finance, from the shadow banking to cryptocurrencies and socially responsible investments. If the time allows, we will have a session reserved to invited industry professionals.

Contents

  1. Introduction
  2. Expected returns, risk and diversification
  3. Performance measurement
  4. Active/Passive Investing
  5. Betas and risk factors
  6. Shadow banking
  7. Cryptocurrencies
  8. Socially responsible investment

References

- "Asset Management: A Systematic Approach To Factor Investing", A. Ang, Oxford University Press, 2014

- "Expected Returns", A. Ilmanen, Wiley Finance, 2011

- "Théorie du portefeuille et analyse de sa performance", N. Amenc et V. Le Sourd, Economica, 2003

- "Gestion de portefeuille : analyse quantitative et gestion structurée", P. Bertrand et J.-L. Prigent, Economica, 2006

Evaluation

First attempt

Exam:
Written 2 hours
Documentation:
Not allowed
Calculator:
Allowed
Evaluation:

Multiple Choice Questions.

Retake

Exam:
Written 2 hours
Documentation:
Not allowed
Calculator:
Allowed
Evaluation:

Multiple Choice Questions.



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