Modern Portfolio Management: Theory and Practice

Catalog description

This course explores tools used by corporate portfolio managers. Topics covered include a review of the structure of the asset markets, basic pricing formulas, fundamental and technical analysis, and the different models relating risk and return, as well as portfolio management and derivative pricing. Statistical concepts such as mean, variance, covariance, and regression analysis will be used extensively throughout the course. In particular, corporate portfolio management has become part of the DNA of the organization. Tactically, how does strategic management of corporate assets (both short- and long-term) i.e., the corporate portfolio, create shareholder value? In this course, students will gain an understanding of the theory underlying optimal portfolio construction, the different ways portfolios are actually built in practice, and how to measure and manage the risk of such portfolios. The course covers investment strategies for bonds, equities, and structured products, including the use of derivatives in managing risk as it relates to overall short- and long- term corporate strategy. Portfolio optimization and asset allocation are covered, as well as how to measure portfolio performance. Ethical investment, the role of taxation, and behavioral investment biases are also explored. At the end of the course students will be able to choose between different bonds, equities, and structured products, as well as make asset allocation decisions that match overall corporate strategic decision making. Students will also be able to decide on and know how to manage a diversified investment portfolio and its currency risk.