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Investments

  • Teacher(s): A.Goyal
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Autumn Semester 2019-2020, 4.0h. course + 1.0h exercices (weekly average)
  •  séances
  • site web du cours course website
  • Related programmes:
    Master of Science (MSc) in Actuarial Science

    Master of Science (MSc) in Finance, Orientation Corporate Finance

    Master of Science (MSc) in Finance : Financial Entrepreneurship and Data Science

    Master of Science (MSc) in Finance, Orientation Asset and Risk Management

[warning] This course syllabus is currently edited by the professor in charge. Please come back in a few days. --- For your information only, here is the old syllabus :

Objectives

This course is designed to introduce students to the most important financial theories and quantitative analytical tools necessary for understanding modern portfolio management. It provides students with a critical understanding of important investment and portfolio management by fund managers, risk managers, banks’ trading desks, structured product groups, pension funds, and other financial institutions. Students who have completed this course should be able to implement trading strategies, risk management techniques, stock selection, valuation, and portfolio construction methods in a wide range of assets including equities, bonds, and derivatives.

Contents

  • Time value of money
  • Interest rates
  • Stocks vs. bonds
  • Mean-variance optimization
  • CAPM, CCAPM, APT
  • Market efficiency
  • Empirical tests of CAPM
  • Anomalies
  • Performance measurement
  • Valuation
  • Trading
  • Commodities
  • Risk management

References

Class materials (copies of slides, excel spreadsheets, and other relevant readings) will be posted on the Moodle2 website. I encourage you to check this website regularly. The following textbooks are not required but helpful:

  • Zvi Bodie, Alex Kane, and Alan Marcus, Investments, McGraw-Hill.
  • (Advanced) Pietro Veronesi, Fixed Income Securities, Wiley.
  • (PhD level) John Cochrane, Asset Pricing, Princeton University Press
  • Aswath Damodaran, Investment Valuation, Wiley.

Evaluation


 

First attempt


 
Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:

Final exam


 

Retake


 
Exam:
Written 3h00 hours
Documentation:
Not allowed
Calculator:
Allowed with restrictions
Evaluation:

Same as final



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