| TPPE33 |
Portfolio Management, 6 ECTS credits.
/Portföljförvaltning/
For:
I
Ii
Y
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Prel. scheduled
hours: 30
Rec. self-study hours: 130
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Area of Education: Technology
Main field of studies: Industrial Engineering and Management
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Advancement level
(G1, G2, A): A
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Aim:
After the course the student is expected to:
- Be able to explain management strategies for financial portfolios
- Be able to develop and use single- and multi-factor models to predict future expected portfolio performance
- Be able to use modern portfolio theory to determine optimal management
- Be able to evaluate portfolio management with modern portfolio theory
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Prerequisites: (valid for students admitted to programmes within which the course is offered)
Basic course in optimization, mathematical statistics and basic course about financial instruments
Note: Admission requirements for non-programme students usually also include admission requirements for the programme and threshhold requirements for progression within the programme, or corresponding.
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Supplementary courses:
Financial optimization
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Organisation:
Lectures and computer exercises.
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Course contents:
- Portfolio management: Asset classes; Active/passive management; Hedge funds
- Basic return and risk calculations
- Markowitz portfolio selection theory
- Capital Asset Pricing Model: Basic and modified versions
- Multi-factor models: Arbitrage Pricing Theory and empirical models
- Performance measurement with single- and multi-factor models.
- Methods for choice of fund manager and decomposition of manager performance
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Course literature:
Amenc and Le Sourd: Portfolio Theory and Performance Analysis
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Examination: |
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Written and oral presentation of project work
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6 ECTS
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Course language is Swedish.
Department offering the course: IEI.
Director of Studies: Fredrik Persson
Examiner: Jörgen Blomvall
Link to the course homepage at the department
Course Syllabus in Swedish
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