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OFIN 2795A - Portfolio Management

Type d'enseignement : Seminar

Semester : Autumn 2018-2019

Number of hours : 12

Language of tuition : English


Basic knowledge of financial markets, securities and derivatives is needed, as well as a good understanging of the main financial theories ( (Markowitz, CAPM, APT).

Course Description

Introduction to Investment Decision and Portfolio Management ; history and evolution ; Risk/return concepts involved in portfolio management ; The portfolio management process ; Different asset classes ; Different types of portfolios ; Different types of investors ; Different types of models ; From portfolio management theory to practical issues (models and their limits) ; Markowitz model and its efficient frontier ; Capital asset pricing model (CAPM) ; Arbitrage ; pricing model ; The chaos theory ; Technical analysis ; Behavioral finance ; Portfolio management by asset class (Equity portfolio, Bond portfolio, Loan portfolio, Forex and commodities) ; Usage of Derivatives and hedging in portfolio management (Derivatives for hedging purposes, Derivatives as new asset classes) ; Global allocation and evaluation of of portfolio performance ; Measures of risk and return as applied to a portfolio ; Index approach ; Assessing portfolio managers.


OUDET, Jean-Paul (Président, Square Advisors)

Pedagogical format

Investment is a key decision for individuals, financial institutions, asset managers, corporates or public bodies. The course is about the practical construction and management of portfolios consisting of various assets. Main financial theories are supposed to be known, we will focus on their potential roles and limitations, from the angle of effectively managing a portfolio in real life. 6 seminars of 2h by week (12h).

Course validation

Credits: 2. Continuous assessment grade.


Some sessions could be introduced by a presentation prepared in advance by a small group of students.

Required reading

  • Analysis of Investments and Management of Portfolios, Keith C. Brown, Frank K. Reilly
  • Modern Portfolio Theory and Investment Analysis, Elton, Gruber, Brown, Goetzmann

Additional required reading

  • The (Mis) Behaviour of Markets: A Fractal View of Risk, Ruin and Reward, Benoît Mandelbrot
  • The Black Swan, Nassim Nicholas Taleb
  • The Most Important Thing: Uncommon Sense for the Thoughtful Investor, Howard Marks
  • Investors and Markets: Portfolio Choices, Asset Prices, and Investment Advice, William F. Sharpe
  • Pioneering Portfolio Management: An Unconventional Approach To Institutional Investment, David Swensen