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Alternative Investments

  • Enseignant(s): S.Darolles
  • Titre en français: Investissements alternatifs
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre d'automne 2017-2018, 4.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

    Maîtrise universitaire ès Sciences en finance : Entrepreneuriat financier et science des données

    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

 

Objectifs

This course has two main objectives. The first one is to undertake a rigorous presentation of the characteristics and techniques that surround alternative investments. After establishing the main institutional features of the hedge funds strategies, we focus on the asset allocation and risk management aspects of alternative investments. The second objective is to give a practical introduction of hedge fund management. Several basic hedge fund strategies are implemented on real data to learn about the different steps required to launch a new hedge fund. At completion of the course, participants will be able to analyze and/or advise private and institutional clients on the inclusion of alternative investments in their portfolios. Participants will also be able to build and market a hedge fund implementing a basic quantitative hedge fund strategy (pro format returns, risk analysis, pitch of the strategy).

Contenus

The course lasts six weeks, two half-days each week. The first half-day is devoted to theoretical considerations and presents hedge funds from the point of view of investors. The second half-day is devoted to practical topics (lab sessions by groups) and approaches hedge funds from the point of view of managers.

  • Week1. Theory: Basic Facts about Hedge Funds / Practice: Basic Statistical Treatments on Financial Data (return computation, basic risk analytics, basic performance measures, NAV computation, reporting) .
  • Week 2. Theory: Hedge Fund Strategies & Themes / Practice: Portfolio construction exercise (mean-variance, risk parity, most diversify portfolios).
  • Week 3. Theory: Hedge Fund Performance Measures / Practice: Long Short Equity project (factor models, alpha/beta, hedging).
  • Week 4. Theory: Hedge Fund Risks and Liquidity / Practice: Global/Macro CTA project (signal generation, risk management).
  • Week 5. Theory: Hedge Funds and Systemic Risk / Practice: Stat Arb/Vol Arb project (detection of arbitrage opportunities on stocks and volatility markets).
  • Week 6. Theory: Hedge Fund investments and Asset Allocation / Practice: Fund of Fund project (fund picking, strategic versus tactic allocation, risk management).

Références

  • Ang, A. (2014), Asset Management: A Systematic Approach of Factor Investing, Oxford University Press.
  • Lhabitant, F.S. (2010), Hedge Funds: Quantitative Insights, Wiley & Sons.
  • Lo, A. (2010), Hedge Funds: An Analytical Perspective, Princeton University Press.
  • Petersen, L. (2015), Efficiently Inefficient: How Smart Money Invests and Market Prices Are Determined, Princeton University Press.

Evaluation

1ère tentative

Examen:
Ecrit 2h00 heures
Documentation:
Non autorisée
Calculatrice:
Non autorisée
Evaluation:

The final grade is determined as follows: a 2h final exam (50%) and a hedge fund project (50%). The final exam will consist of answering a series of questions on a recent research paper on hedge funds. The hedge fund project will require the development and implementation of a basic quantitative strategy.

Rattrapage

Examen:
Ecrit 2h00 heures
Documentation:
Non autorisée
Calculatrice:
Non autorisée
Evaluation:

The final grade is determined as follows: a 2h final exam (50%) and a hedge fund project (50%). The final exam will consist of answering a series of questions on a recent research paper on hedge funds. The hedge fund project will require the development and implementation of a basic quantitative strategy.



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