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Alternative Investments

  • Teacher(s):   T.Cho  
  • Course given in: English
  • ECTS Credits: 6 credits
  • Schedule: Autumn Semester 2019-2020, 4.0h. course (weekly average)
  •  sessions
  • 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

Although there is no formal definition, it is generally accepted that "Alternative Investments" are about any investment that is not limited to traditional asset classes (such as bonds, stocks and cash) nor to conventional investment strategies (long-only, no short-sale, no leverage...).

In this course, we will explore the following three key elements in “Alternative Investments”:

  • Alternative investment strategies - from financial engineering perspectives and other trading strategies employed by hedge funds
  • Alternative asset classes, such as hedge funds, private equities, real assets and structured products
  • Asset allocation involving both traditional and alternative asset classes

Note. It is required to bring your (Microsoft Excel installed) laptop to the class. The link to the course website will be available soon.

Contents

1. Introduction - Review

  • Mathematics
  • Financial derivatives and risk management

2. Non-linear Portfolio Management

  • Hedging
  • Portfolio protection and yield enhancement

3. Hedge Funds

  • Hedge funds
  • Funds of hedge funds

4. Structured Products

  • Collateralised debt obligation (CDO) and credit-linked notes
  • Equity-linked notes

5. Other Alternative Asset Classes

  • Private equity
  • Real assets

6. Asset Allocation

References

References will be given in the class

Pre-requisites

The participants are expected to have sound understangding in "Investment" in general and "Asset Allocation", as well as basic quantitative skills.

Evaluation

First attempt

Exam:
Written 3h00 hours
Documentation:
Allowed
Calculator:
Allowed
Evaluation:

Final exam: 50%
Series of 10 simple tests during the class (8 best will be considered): 40%
Participation: 10%

Retake

Exam:
Written 3h00 hours
Documentation:
Allowed
Calculator:
Allowed
Evaluation:

Retake exam: 50%
Series of 10 simple tests during the class (8 best will be considered): 40%
Participation: 10%



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