Gestion de portefeuilles avancée

• Topic 1 : General Introduction: Securities, Markets, Returns, Distributions
• Topic 2 : The Mean-Variance Framework
• Topic 3 : Risk Measures
• Topic 4 : Asset Pricing
• Topic  : Portfolio Performance and Factor/Style Analysis

This course introduces crucial concepts of investment decision-making, portfolio theory and valuation models of financial assets, especially bonds and common stocks. Students will develop skills and learn tools to understand how financial markets value securities, building optimized portfolios, perform market research and security valuation, measure portfolio performance and manage a portfolio under risk budgets. After establishing foundations of the Modern Portfolio Theory, we will focus on its extensions and applications. The course objective is achieved through a combination of lectures, practical exercises, case studies and, finally, seminars by few practitioners.

Modalités : CC
SESSION UNIQUE :
Contrôle Continu
• Type : Écrit
• Durée : 2h00

Régime Dérogatoire
• Type : Écrit
• Durée : 2h00

SESSION 2 :
• Type : Écrit
• Durée : 2h00

Utilisation de l'intelligence artificielle :
Dans le cadre de cet EC, l’usage de l’IA pour aider à la réalisation des travaux de contrôle continu soumis à évaluation est interdit. Vous n’avez pas le droit de faire appel à une IA générative à des fins de documentation, recherche d’idées, construction, rédaction ou édition (hors usages de recherche web augmentée, de correction orthographique et syntaxique).

Portfolio choice; microeconomics; financial markets; money banking and finance

Portfolio choice, Portfolio management, Performance measures, Market risk

• Bodie Z., A. Kane and A. Marcus, (2010), Investments, 9th Edition, 1056 pages.
• Copeland T. E., J.F. Weston and K. Shastri (2004), Financial Theory and Corporate Policy, Addison Wesley, 4th Edition, 1024 pages.
• Danielsson J., (2011), Financial Risk Forecasting: the Theory and Practice of Forecasting Market with Implementation in R and Matlab, Wiley-Blackwell, 296 pages.
• Elton E., M. Gruber, S. Brown and W. Goetzmann, (2010), Modern Portfolio Theory and Investments Analysis, John Wiley and Sons, 8th Edition, 752 pages.
• Meucci A., (2009), Risk and Asset Allocation, Springer, 560 pages

Classe interactive