Portfolio Management
A macroscopic, analytical approach to investing: how return and risk combine across many assets. From mean-variance optimisation and the capital allocation line, through the CAPM, factor models and APT, to risk management, active management, international investing and trade execution — investment decisions backed by numbers.
Portfolio Risk and Return
Mean-variance preferences and utility, the capital allocation line and Sharpe ratio, optimal risky/riskfree splits, two risky assets, the efficient frontier, the optimal risky portfolio, and the mutual-fund theorem.
CAPM and Performance Evaluation
Equilibrium and the market portfolio, the capital market line, the CAPM and beta, systematic vs non-systematic risk, the SML, the single-index model and diversification, and the Sharpe/M²/Treynor/Jensen measures.
Factor Models, APT and Factor Investing
Multifactor models and factor loadings, arbitrage pricing theory, the multifactor SML, the Fama-French three-factor model, smart-beta factor investing, and style analysis and attribution including Buffett's alpha.
Portfolio Risk Management
Value at risk by historical simulation, the parametric normal method and Monte Carlo, VaR under a factor model, fat tails and the stylised facts, backtesting, expected shortfall, stress testing and risk limits.
Active Portfolio Management
Active return and active weights, asset allocation vs security selection, the information ratio and optimal active risk, the Treynor-Black model, Grinold's rule, and the fundamental law of active management.
International Portfolio Management
International diversification and home bias, exchange rates and cross rates, triangular arbitrage, foreign-asset return and risk, forward rates and covered interest rate parity, and the carry trade with uncovered parity.
Applied Portfolio Management
The investment policy statement, absolute vs relative return and risk objectives, ability vs willingness to take risk, constraints, types of investors, and a case study reconciling return and risk objectives.
Electronic Markets, Trade Execution and Technology
The limit order book, market and limit orders and market impact, VWAP/TWAP/POV execution algorithms and transaction-cost benchmarks, high-frequency trading, and big data and machine learning.
Revision
A consolidated formula sheet and concept recap of the whole course — mean-variance, CAPM, factor models, VaR, active management, international investing, the IPS, and execution.