Investments, Capital Markets or equivalent course
Learning modeling techniques and applications for investment analysis, company valuation, portfolio optimization and more.
Description / Program
The purpose of the course is to provide students with an applied view of the professional investment process. The course revolves around an Asset Management Challenge. The lectures will provide the theoretical foundations for structuring an active portfolio. We will cover topics such as the construction of the Efficient Frontier (Markowitz Theory) and the Treynor-Black Model. We will study trading strategies that can generate outperformance. Additionally, we will discuss Performance Evaluation and Performance Reporting. Moreover, we will teach you how to backtest trading strategies. The learning objectives of the course are both theoretical and applied. We will stress the realism of the applications and we will make extensive use of Bloomberg as a source of data and as a tool for portfolio applications.
Learning Method / Style of Lessons
Lectures, applications in Python and Excel, Asset Management Challenge, group work and presentations.
The final grade will be based on:
- an Asset Management Challenge, with periodic reports and group presentations – counts for 60%
- a final written Exam, with theoretical questions and exercises – counts for 40%
- Class attendance is also a requirement.
- Lasse H. Pedersen, “Efficiently Inefficient”, Princeton University Press, 2015.
- Bodie Z., Kane A., and Marcus A.J., “Investments”, 7th, or 8th, or 9th, or 10th, or 11th edition, McGraw Hill.
- Lecture notes.
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