Registry
Module Specifications
Archived Version 2005 - 2006
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Module Aims
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The objective of this course is to apply theoretical and analytical concepts to the investment management process.
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Learning Outcomes
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Students will be familiar with the theory and mathematics underlying portfolio management in today's financial markets.
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Indicative Time Allowances
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Hours
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Lectures |
36
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Tutorials |
0
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Laboratories |
0
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Seminars |
0
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Independent Learning Time |
39
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Total |
75
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Placements |
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Assignments |
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NOTE
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Assume that a 5 credit module load represents approximately 75 hours' work, which includes all teaching, in-course assignments, laboratory work or other specialised training and an estimated private learning time associated with the module.
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Indicative Syllabus
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Mean Variance Portfolio Theory
Mean variance characteristics of individual securities and portfolios.
Calculating the Efficient Frontier
Constrained optimisation techniques and optimal portfolio selection.
Simplifying Portfolio Selection
The Single Index Model, Multi-Index Models and grouping techniques, constructing the optimal portfolio.
Utility Analysis
Preference and utility functions, axiomatic derivation of expected utility theorem.
Other Portfolio Selection Models
Minimax regret, safety first models, stochastic dominance.
Equilibrium Models
The standard CAPM, non-standard CAPM, the arbitrage pricing theory.
International Diversification
Returns from foreign investments, effect of exchange risk, models for managing international portfolios.
Evaluating Portfolio Performance
Risk-adjusted measures, Sharpe, Treynor and Jensen values, Fama decomposition.
Security Analysis and Portfolio Theory
Efficient markets, Earnings estimation.
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| Assessment | | Continuous Assessment | 25% | Examination Weight | 75% |
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Indicative Reading List
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Elton, E. and M. Gruber Portfolio Analysis 5th edition Wiley 1995
Rutterford, J. Introduction to Stock Exchange Investment, 2nd edition Macmillen Press 1993
Blake, D. Financial Market Analysis McGraw-Hill 1990
Sharpe, W., and G. Alexander Investments, 4th edition Prentice-Hall 1990
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Programme or List of Programmes
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| MIT | MSc in Investment and Treasury |
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