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Alternative Investments

  • Enseignant(s):   T.Cho  
  • Titre en français: Investissements alternatifs
  • Cours donné en: anglais
  • Crédits ECTS: 6 crédits
  • Horaire: Semestre d'automne 2019-2020, 4.0h. de cours (moyenne hebdomadaire)
  •  séances
  • site web du cours site web du cours
  • Formations concernées:
    Maîtrise universitaire ès Sciences en finance, Orientation gestion des actifs et des risques

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

    Maîtrise universitaire ès Sciences en finance, Orientation finance d'entreprise

 

Objectifs

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.

Contenus

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

Références

References will be given in the class

Pré-requis

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

Evaluation

1ère tentative

Examen:
Ecrit 3h00 heures
Documentation:
Autorisée
Calculatrice:
Autorisée
Evaluation:

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

Rattrapage

Examen:
Ecrit 3h00 heures
Documentation:
Autorisée
Calculatrice:
Autorisée
Evaluation:

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



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