GRA 6531 Topics in Portfolio Management

GRA 6531 Topics in Portfolio Management

Course code: 
GRA 6531
Department: 
Finance
Credits: 
6
Course coordinator: 
Bruno Gerard
Product category: 
Master
Portfolio: 
MSc in Finance
Semester: 
2020 Spring
Active status: 
Active
Teaching language: 
English
Course type: 
One semester
Introduction

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.

Learning outcomes - Knowledge
  • Theoretical and applied coverage of advanced investment portfolio management concepts and techniques, for equity only portfolios, for fixed income only portfolios and for mixed portfolios.
  • Examine the practical solution of the portfolio management problem from both an individual and instutional perspective. Special consideration for pension, insurance and sovereign fund portfolios.
Learning outcomes - Skills
  • 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.  
General Competence

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. 

Course content

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 
  • Strategic allocation across investor types: indivdual vs institutions, domestic vs international, foundations, pension funds, natioal reserve funds and sovereign wealth funds.
  • Portfolio Performance Evaluation and Manager Assessment
  • Efficient markets and Active Management.  
  • Ethical Investments, Impact and Sustainable 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. 
  • Fintech and digital approaches to investment advisory and investment management
Teaching and learning activities

Lectures and Case discussions. Most learning will take place through student discussion of cases or computer assignments related to portfolio management.  

When possible, guest lectures from practitioners in the asset management industry.

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.

Students should be proficient in Excel.

Software tools
No specified computer-based tools are required.
Additional information

Please note that while attendance is not compulsory in all courses, it is the student’s own responsibility to obtain any information provided in class.

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 starts.

At resit, all exam components must, as a main rule, be retaken during next scheduled course.

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.

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.

Qualifications

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.

Required prerequisite knowledge

GRA 6534 Investments or equivalent

Exam categoryWeightInvigilationDurationSupport materialsGroupingComment exam
Exam category:
Activity
Form of assessment:
Class participation
Exam code:
GRA65313
Grading scale:
Point scale
Grading rules:
Internal examiner
Resit:
All components must, as a main rule, be retaken during next scheduled course
20No 1 Semester(s)Individual
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA65313
Grading scale:
Point scale
Grading rules:
Internal examiner
Resit:
All components must, as a main rule, be retaken during next scheduled course
30No 12 Week(s)Group (3 - 4)Case write-ups and computer exercises
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA65313
Grading scale:
Point scale
Grading rules:
Internal and external examiner
Resit:
All components must, as a main rule, be retaken during next scheduled course
10No 12 Week(s)Group (3 - 4)Write-up of last case and last computer assignment
Exam category:
Submission
Form of assessment:
Written submission
Exam code:
GRA65313
Grading scale:
Point scale
Grading rules:
Internal and external examiner
Resit:
All components must, as a main rule, be retaken during next scheduled course
40Yes3 Hour(s)
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Individual Written examination under supervision.
Exams:
Exam category:Activity
Form of assessment:Class participation
Weight:20
Invigilation:No
Grouping (size):Individual
Support materials:
Duration: 1 Semester(s)
Comment:
Exam code: GRA65313
Grading scale:Point scale
Resit:All components must, as a main rule, be retaken during next scheduled course
Exam category:Submission
Form of assessment:Written submission
Weight:30
Invigilation:No
Grouping (size):Group (3-4)
Support materials:
Duration: 12 Week(s)
Comment:Case write-ups and computer exercises
Exam code: GRA65313
Grading scale:Point scale
Resit:All components must, as a main rule, be retaken during next scheduled course
Exam category:Submission
Form of assessment:Written submission
Weight:10
Invigilation:No
Grouping (size):Group (3-4)
Support materials:
Duration: 12 Week(s)
Comment:Write-up of last case and last computer assignment
Exam code: GRA65313
Grading scale:Point scale
Resit:All components must, as a main rule, be retaken during next scheduled course
Exam category:Submission
Form of assessment:Written submission
Weight:40
Invigilation:Yes
Grouping (size):Individual
Support materials:
  • BI-approved exam calculator
  • Simple calculator
  • Bilingual dictionary
Duration:3 Hour(s)
Comment:Written examination under supervision.
Exam code: GRA65313
Grading scale:Point scale
Resit:All components must, as a main rule, be retaken during next scheduled course
Type of Assessment: 
Continuous assessment
Grading scale: 
ECTS
Total weight: 
100
Sum workload: 
0

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.