GRA 6531 Applied Portfolio Management
GRA 6531 Applied Portfolio Management
This is a case course that focuses on the dynamics of the portfolio management process and investment advice, blending academic theory with professional best practices. This is achieved mainly through the study and discussion of cases. 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 perspectives and the different challenges they face, as well as the ethical dimensions of both the manager/investor relation and of the investment process. We discuss how asset management can address ESG and sustainability concerns, and support progress towards the UN Sustainable Development Goals (SDGs). Participants will gain understanding of the issues through real-world examples, cases study discussions and computer exercises. A basic knowledge of Excel is expected.
- Applied coverage of 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 institutional perspective. Special consideration for pension, insurance, endowment, foundation and sovereign fund portfolios.
- Identify the portfolio objectives and provide asset allocation recommendations to a variety of potential investors, individual, pension funds, sovereign funds, institutional investors, taking into account investor specific constraints, existing assets and future liabilities.
- Ability to evaluate the performance and the robustness of different investment management approaches, as well as their appropriateness in light of an investor's specific circumstances.
- Ability to conduct a due diligence process of an asset manager, investment product or investment service.
- Ability to assess the ethical dimensions of the behavior of 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 assess the social responsibility of investment management and the tradeoffs between impact and sustainability gains, and risk and returns.
- 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 practical constraints related to asset characteristics and 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, which should simultaneously be realistic, feasible and achieving the best outcome possible for both investor and advisor.
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Gain a strong awareness that all investments decisions have a sustainability impact, whether positive or negative, that they may hinder or help achieving the UN SDGs and of the need to balance financial risk and returns with sustainability impact.
The course is mostly a case course. It will review and apply to real-life cases most of the following topics:
- Review of the Portfolio Management Process. The Investment Policy Statement
- Investment process - the investor/client perspective
- Risk and Return - Historical record
- Portfolio Optimization and Asset Allocation
- Strategic allocation across investor types: individual vs institutions, domestic vs international, foundations, pension funds, national reserve funds and sovereign wealth funds.
- Applying equilibrium models to asset allocation: The Black-Litterman Approach
- Managing Currency Risk and the International Dimension in Investment Management
- Portfolio Performance Evaluation and Manager Assessment
- Indexing, Factor Investing and Active Management: Market Efficiency and Asset Management.
- Socially Responsible Investment: ESG, Ethical Investments, Impact and Sustainable Investments and the Ethics of Investment Management
- Assessing portfolios sustainability impact and alignment with the UN SDGs, and balancing risk, return and impact.
- Alternative Investments and Hedge Fund Strategies
- Trading and implementation
- Digital approaches to investment advisory and investment management
Topics may be added and removed from the course to reflect on current issues and development in the asset management and investment field.
Case discussions. Most learning will take place through student discussion of cases and/or computer assignments related to portfolio management. Case preparation is done in groups of 4 (exceptionally 3) members.
Lectures and class discussion may be substituted to case studies when needed.
When possible, guest lectures from practitioners in the asset management industry will be included.
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.
The work requirement for this course is cancelled.
The exam for this course has been changed starting academic year 2023/2024. The course now has two ordinary exams (in addition to a mandatory coursework requirement). It is not possible to retake the old version of the exams. Please note new exam codes in the Exam section of the course description.
It is the student’s own responsibility to obtain any information provided in class.
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.
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.
Disclaimer
Deviations in teaching and exams may occur if external conditions or unforeseen events call for this.
GRA 6534 Investments or equivalent
| Assessments |
|---|
Exam category: Submission Form of assessment: Written submission Weight: 45 Grouping: Group (3 - 4) Duration: 1 Semester(s) Exam code: GRA 65314 Grading scale: ECTS Resit: Examination when next scheduled course |
Exam category: School Exam Form of assessment: Written School Exam - pen and paper Weight: 55 Grouping: Individual Support materials:
Duration: 3 Hour(s) Comment: Written examination under supervision Exam code: GRA 65315 Grading scale: ECTS Resit: Examination when next scheduled course |
All exams must be passed to get a grade in this course.
| Activity | Duration | Comment |
|---|---|---|
Case teaching | 18 Hour(s) | In Class case discussion and presentation |
Teaching | 6 Hour(s) | |
Group work / Assignments | 72 Hour(s) | Case preparation & reports |
Feedback activities and counselling | 16 Hour(s) | Question sessions, Reviews |
Examination | 3 Hour(s) | |
Student's own work with learning resources | 48 Hour(s) |
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.