APPLIED PORTFOLIO MANAGEMENT
- Overview
- Assessment methods
- Learning objectives
- Contents
- Bibliography
- Delivery method
- Teaching methods
No preliminary requirements are requested.
Oral test to verify theoretical knowledge. Students are required to discuss case studies to test their computational competences and analysis skills.
The course aims at providing the methodological knowledge and technical skills necessary to portfolio management, valuation of performance and risk of an investment strategy, measurment and monitoring the (ex-ante and ex-post) risk exposure of a portfolio.
At the end of the course, students are required to be able
- to compute performance, risk and risk adjusted performance indicators
- to make performance attribution
- to measure implied prospective risk of an investment portfolio and split it into risk components/risk factors.
1. Portfolio management
a. Goals and constraints
b. Money Weighted and Time Weighted return
2. Key Risk Indicators:
a. Volatility, VaR,TEV, Beta coefficient
b. Risk adjusted Perofmance IShrpe Ratio, Sortino ratio)
3. Capital Asset Pricing Model and Alfa-portfolios
4. Performance Attribution
Slides provided by the Teacher
Frontal theoretical lessons and exercises. Discussion of case studies.