Dr Michela Verardo

This course is available on the MSc in Finance (part-time). This course is not available as an outside option.

This course is not capped, any eligible student that requests a place will be given one.

Students must have completed Corporate Finance (FM422E) and FM423E.

• Portfolio optimization and the Black-Litterman model
• Dynamic Investment Strategies
• Selecting and Monitoring Portfolio Managers: Mutual funds and hedge funds
• Transactions Costs and Liquidity Risk

The course covers a wide range of topics in portfolio management, with a strong focus on empirical applications. The first part of the course reviews the basics of portfolio theory and develops the Black-Litterman approach to portfolio optimization. The second part of the course introduces students to the implementation of several dynamic investment strategies and to the estimation of their performance; portfolio strategies include size, value, momentum, betting-against-beta, and quality-minus-junk. The third part of the course focuses on selecting and monitoring portfolio managers, with particular emphasis on the identification of selectivity, allocation, and timing skills for mutual funds and hedge funds. The last part of the course examines trading costs and liquidity risk, as well as their impact on the profitability of investment strategies. The course is based on recent empirical studies and applied exercises using financial data.

30 hours of lectures in the AT.

Regular coursework 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: Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin; 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.

Continuous assessment (100%) in the AT.