GRA 6528 Portfolio Management - RE-SIT EXAMINATION
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APPLIES TO ACADEMIC YEAR 2013/2014
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GRA 6528 Portfolio Management - RE-SIT EXAMINATION
Responsible for the course
Bruno Gerard
Department
Department of Financial Economics
Term
According to study plan
ECTS Credits
6
Language of instruction
English
Introduction
THIS COURSE DESCRIPTION IS ONLY RELEVANT FOR THE RE-SIT EXAMINATION OF AUTUMN 2014.
This course is taught in English
Learning outcome
Theoretical and applied coverage of advanced portfolio management techniques, for equity only portfolios, for fixed income only portfolios and for mixed portfolios. Special consideration for pension, insurance and national fund portfolios.
Prerequisites
Successful completion of GRA 6543 Introduction to Asset Pricing/GRA 6533 Theory of Finance and GRA 6534 Investments or equivalent is required PRIOR to enrolling in this class. All exceptions must be approved in writing BEFORE the start of the course by the course instructor.
Compulsory reading
Books:
Litterman, Bob and the Quantitative Resources Group GSAM. 2003. Modern investment management : an equilibrium approach. Wiley
Other:
Diverse authors. Cases in portfolio management. Course specific case book available from XANEDU.com (NEW selection of cases each year - do not purchase previous year case book)
During the course there may be hand-outs and other material on additional topics relevant for the course and the examination.
Further readings and handouts may be assigned during the course and may be relevant for the final examination
Recommended reading
Books:
Bodie, Zvi, Alex Kane, Alan J. Marcus. 2011. Investments. 9th ed. McGraw-Hill/Irwin
Campbell, John Y., Luis M. Viceira. 2002. Strategic asset allocation : portfolio choice for long-term investors. Oxford University Press
Grinold, Richard C., Ronald N. Kahn. 2000. Active portfolio management : a quantitative approach for providing superior returns and controlling risk. 2nd ed. McGraw-Hill
Course outline
The course will cover among others the following topics:
• Review of the Portfolio Management Process
• Investment process - client perspective
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Risk and Return - Historical record Portfolio Optimization and Asset AllocationCAPM, APT and Multifactor Models Applying the CAPM : The Black-Litterman Approach
Risk Managemetn and VAR Managing Currency Risk and the International Dimension in Investment Management -
Portfolio Performance Evaluation and Manager Assessement
- Efficient markets and Active 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.
Computer-based tools
Excel based projects - Use of DataStream database, It's learning/homepage
Learning process and workload
A course of 6 ECTS credits corresponds to a workload of 160-180 hours.
Lectures and Case discussions. Most learning will take place through student discussion of cases in 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.
Examination
Your course grade (pass/fail) will be based on the following activities:
A 5-hour written examination (graded A-F) (100 %)
All parts of the evaluation need to be completed and passed during the same semester in order to get a grade in the course.
Examination code(s)
GRA 65281 written examination accounts for 100 % of the final grade in the course GRA 6528.
Examination support materials
A bilingual dictionary and BI-approved exam calculator.
Exam support materials at written examiniations are explained under exam information in the student portal @bi. Please note use of calculator and dictionary in the section on exam support materials.
Re-sit examination
N/A
Additional information
Honor Code
Academic honesty and trust are important to all of us as individuals, and represent values that are encouraged and promoted by the honor code system. This is a most significant university tradition. Students are responsible for familiarizing themselves with the ideals of the honor code system, to which the faculty are also deeply committed.
Any violation of the honor 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 honor code and academic integrity. If you have any questions about your responsibilities under the honor code, please ask.