Dr Domingos Romauldo

This course is available on the CEMS Exchange, Global MSc in Management, Global MSc in Management (CEMS MIM), Global MSc in Management (MBA Exchange), MBA Exchange, MSc in Accounting and Finance, MSc in Econometrics and Mathematical Economics, MSc in Economics and Management, MSc in Finance and Economics, MSc in Financial Mathematics and MSc in Risk and Finance. This course is available with permission as an outside option to students on other programmes where regulations permit.

This course aims to cover the main topics in equity portfolio management. Some of the topics covered in the course include: Portfolio optimization techniques; Multi-factor models and their applications; Trading strategies; International portfolio management and currency hedging; Trading costs; Portfolio performance measurement and attribution; Style analysis; Mutual funds; Hedge funds. The course is based on a number of empirical applications and case studies, so that students can gain a better understanding of implementation issues related to managing an equity portfolio.

20 hours of lectures and 10 hours of seminars 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; Modern investment management, by Bob Litterman and the Quantitative Resource Group, GSAM, Wiley Press; Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin.

Exam (80%, duration: 2 hours) in the main exam period.
Coursework (20%).

The 20% coursework comprises five homework assignments and one project.