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048GPAMM2

Portfolio management

The aim of this course is to study the theory and empirical evidence relevant for investing in the context of portfolio management. Most of the course is geared towards the understanding and implementation of “modern portfolio theory”. The student should be able to interpret major return measures and explain risk aversion with its implications for portfolio selection. Interpretation of the minimum-variance and efficient frontiers of risky assets is a most. Finally, the student will be able to select the optimal portfolio given an investor’s utility and the capital allocation line.


Temps présentiel : 20 heures


Charge de travail étudiant : 50 heures


Méthode(s) d'évaluation : Participation, Projets, Travaux pratiques contrôlés


Référence :
• Carol Alexander, Market Risk Analysis, Volume I, Quantitative Methods in Finance - 2008 by John Wiley & Sons Ltd • Frank K. Reilly (Author),‎ Keith C. Brown (Author), Investment Analysis and Portfolio Management 10th Edition

Ce cours est proposé dans les diplômes suivants
 Master en sciences actuarielle et financière