GRA 6531 Portfolio Management
GRA 6531 Portfolio Management
This course focuses on the dynamics of the portfolio management process, blending academic theory with professional best practices. The objective is to introduce a framework for a disciplined approach to global asset allocation and risk management. We consider both the investor and the asset manager's perspective and thei different chanllenges they face, as well as the ethical dimensions of both the manager/investor relation and of the invvestment process. Participants will gain understanding of the issues through real-world examples, cases study discussions and computer exercises. A basic knowledge of excel is expected.
Theoretical and applied coverage of advanced portfolio management issues and techniques, for equity only portfolios, for fixed income only portfolios and for mixed portfolios. Special consideration for pension, insurance and sovereign fund portfolios.
Identify the portfolio obectives and provide asset allocation recommendations to a variety of potential investors, indivual, pension funds, soveriegn funds, insitutional investors, taking into accont the investors specific constraints, exisitng assets and future liabilities.
Ability to evaluate the performance and the robustness of different investment management aproaches, as well as ther appropriatedness in light of an investor's specific circumstances.
Ability to assess the ethical dimensions of the behavior of the investment managers, in particular what discharging the manager's fiduciary duty due to the investor entails and how to recognize and remedy conflict of interests.
Ability to think through critically the investment decision, asset allocation choice and implementation issues from both the investor and the investment manager or advisor point of view, taking into account both finance theory and the practical general market conditions, as well as the investor and advisor specific circumstances to define both in quantitative and in qualitative terms an investment course of action simultaneoulsy realistic, feasible and achieving the best outcome possible for both investor and advisor.
The course will cover among others the following topics:
- Review of the Portfolio Management Process. The Investment Policy Statement
- Investment process - client perspective
- Risk and Return - Historical record Portfolio Optimization and Asset AllocationCAPM, APT and Multifactor Models Applying the CAPM : The Black-Litterman Approach Risk Management and VAR Managing Currency Risk and the International Dimension in Investment Management
- Portfolio Performance Evaluation and Manager Assessment
- Efficient markets and Active Management.
- Ethical Investments and the Ethics of Investment Management
- Alternative Investments and Hedge Fund Strategies
- Trading and Implementation
- Topics may be added and removed from the course to reflect on current issues and development in the asset management and investment field.
- If possible, guest lectures on equity and fixed income management by professional portfolio managers
Lectures and Case discussions. Most learning will take place through student discussion of cases or computer assignments related to portfolio management.
Students will be responsible to prepare in groups a case or computer assignment for discussion prior to each class meetings. Each student must be prepared to present the case and to discuss her/his conclusions in the class room.
Please note that it is the student’s own responsibility to obtain any information provided in class that is not included on the course homepage/It's learning or text book.
This is a course with continuous assessment (several exam components) and one final exam code. Each exam component is graded by using points on a scale from 0-100. The components will be weighted together according to the information in the course description in order to calculate the final letter grade for the examination code (course). Students who fail to participate in one/some/all exam elements will get a lower grade or may fail the course. You will find detailed information about the point system and the cut off points with reference to the letter grades when the course start.
At resit, all exam components must, as a main rule, be retaken during next scheduled course.
Students should be proficient in Excel
Honour Code
Academic honesty and trust are important to all of us as individuals, and represent values that are encouraged and promoted by the honour code system. This is a most significant university tradition. Students are responsible for familiarizing themselves with the ideals of the honour code system, to which the faculty are also deeply committed. The expected behaviour and honour code is outlined here.
Any violation of the honour code will be dealt with in accordance with BI’s procedures for cheating. These issues are a serious matter to everyone associated with the programs at BI and are at the heart of the honour code and academic integrity. If you have any questions about your responsibilities under the honour code, please ask.
All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have specific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.
GRA 6534 Investments or equivalent
| Assessments |
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Exam category: Activity Form of assessment: Class participation Weight: 20 Grouping: Individual Duration: 1 Semester(s) Exam code: GRA65313 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
Exam category: Submission Form of assessment: Written submission Weight: 30 Grouping: Group (3 - 4) Duration: 12 Week(s) Comment: Case write-ups and computer exercises Exam code: GRA65313 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
Exam category: Submission Form of assessment: Written submission Weight: 10 Grouping: Group (3 - 4) Duration: 12 Week(s) Comment: Write-up of last case and last computer assignment Exam code: GRA65313 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
Exam category: Submission Form of assessment: Written submission Invigilation Weight: 40 Grouping: Individual Support materials:
Duration: 3 Hour(s) Comment: Written examination under supervision. Exam code: GRA65313 Grading scale: Point scale leading to ECTS letter grade Resit: All components must, as a main rule, be retaken during next scheduled course |
A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 6 ECTS credits corresponds to a workload of at least 160 hours.