Dr Francesco Nicolai

This course is available on the Global MSc in Management, MSc in Accounting and Finance, MSc in Econometrics and Mathematical Economics, MSc in Economics and Management, MSc in Finance and Risk and MSc in Financial Mathematics. This course is not available as an outside option.

Global MSc in Management ('Accounting and Finance' and 'Finance' concentrations only).

This course is available to other students from the Departments of Economics, Mathematics, and Statistics where regulations permit. 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.

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.

30 hours of seminars in the WT.

This course is taught in the interactive lecturing format. There is no distinction between lectures and classes/seminars; there are “sessions” only, and the pedagogical approach in each session is interactive.

Regular classworks will be completed, handed in and marked as part of formative assessment for this course. For the most part, the classwork is based on Excel applications of the models and empirical studies covered in lectures.

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, reading time: 10 minutes) in the spring exam period.
Coursework (20%).