Mr Domingos Romualdo

This course is available on the MSc in Finance (full-time) and MSc in Finance and Private Equity. This course is not available as an outside option.

Students must have completed Asset Markets (FM423) and Corporate Finance (FM422).

• Balancing Risk and Risk Premia for the Construction of Optimal Portfolios
• Dynamic Investment Strategies
• Selecting and Monitoring Portfolio Managers
• Transactions Costs and Liquidity Risk in Portfolio Construction

This course covers a wide range of topics in portfolio management, with a strong focus on empirical applications. The first part of the course starts with a theoretical and empirical overview of risk and risk premia in different segments of financial markets; it then focuses on the construction of optimal portfolios, with applications to equity, bond, and multi-asset portfolios. The second part of the course introduces students to the implementation of several dynamic investment strategies, such as value, momentum, carry, and others. The third part of the course focuses on selecting and monitoring mutual fund and hedge fund managers to form portfolios of managed funds. Finally, the course incorporates transactions costs and liquidity risk in the construction and evaluation of portfolios. The course is based on recent empirical studies and on applied exercises using financial data.

30 hours of lectures in the LT.

Regular classworks will be completed, handed in and marked as part of formative assessment for this course.

A study pack will include lecture notes and case studies. All relevant articles will be made available during the course. Useful references are Modern portfolio theory and investment analysis, by E. J. Elton, M. J.Gruber, S. J. Brown, and W. N. Goetzmann, Wiley Press; Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin; Modern investment management, by Bob Litterman and the Quantitative Resource Group, GSAM, Wiley Press.

Exam (90%, duration: 2 hours) in the main exam period.
Coursework (10%) in the LT.