Registry
Module Specifications
Archived Version 2020 - 2021
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Description This module studies portfolio theory including portfolio selection and optimisation as well as portfolio performance evaluation. It introduces and applies linear factor models in evaluating portfolio performance in stock selection, market timing and persistence. It applies recent methods to more accurately measure fund performance in the face of non-normality, time varying parameters and other non-standard statistical circumstances. It then looks at bond markets and asset allocation. Finally, this module examines risk measurement techniques as particularly applied in portfolio management. | |||||||||||||||||||||||||||||||||||||||||
Learning Outcomes 1. Describe the return versus risk trade off in portfolio construction 2. Derive optimal portfolios 3. Evaluate risk adjusted portfolio performance 4. Critically appraise various return measures 5. Interpret the economic as well as statistical significance of performance findings 6. Calculate various risk metrics | |||||||||||||||||||||||||||||||||||||||||
All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml |
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Indicative Content and
Learning Activities 1.Capital Asset Pricing Model2.Multi-Factor Models of Asset Returns3.Time Varying Risk – Conditional and Unconditional Models4.Market Timing – Regression Based and Nonparametric Tests5.Weaknesses of Standard Performance Measures6.Nonparametric Performance Estimation (bootstrapping)7.Persistence – including Nonparametric Estimation8.Basics of Bond Markets9.Asset Allocation10.Risk Measurement and Management | |||||||||||||||||||||||||||||||||||||||||
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Indicative Reading List
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Other Resources None | |||||||||||||||||||||||||||||||||||||||||
Programme or List of Programmes |
MITB | MSc in Investment, Treasury & Banking |
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