Aller à : contenu haut bas recherche
 
 
EN     FR
Vous êtes ici:   UNIL > HEC Inst. > HEC App. > SYLLABUS
 
 

Alternative Investments

  • Teacher(s): A.Goyal
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Autumn Semester 2018-2019, 4.0h. course (weekly average)
  •  séances
  • site web du cours course website
  • Related programmes:
    Master of Science (MSc) in Finance, Orientation Asset and Risk Management

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

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

 

Objectives

This course is designed to introduce students to quantitative asset management. Students will learn the basics of portfolio construction and will backtest strategies. The course will cover many asset classes including equities, bonds, and currencies. We will also look at hedge funds and alternative asset classes such as art. Prior knowledge of a programming language such as Matlab, Stata, SAS, R, or Python is necessary for the successful completion of the course (I will not provide any programming introduction). Please bring your computers to every class.

Contents

  1. Introduction to WRDS
  2. EMH/Portfolio construction and evaluation
  3. Factor models
  4. Anomalies
  5. Predictability of aggregate stock returns
  6. Hedge funds
  7. Bond portfolios
  8. Currency portfolios
  9. Alternative asset classes
  10. Behavioral finance
  11. ESG/SRI investing

Evaluation

First attempt

Exam:
Without exam (cf. terms)  
Evaluation:
  • Final project 60%
  • Two small projects 20% each

Retake

Exam:
Without exam (cf. terms)  
Evaluation:

The retake exam will based on written assignment.



[» go back]           [» courses list]
 
Search


Internef - CH-1015 Lausanne - Suisse  -   Tél. +41 21 692 33 00  -   Fax +41 21 692 33 05
Swiss University