Number of hours
- Lectures 18.0
ECTS
ECTS 1.87
Goal(s)
The objective of this course is to transmit essential notions about portfolio choice and performance measurement. In particular, the course addresses the subjects linked to the portfolio’s return and risks (together with the risk premia estimation), the mutual funds, the active vs passive management, and the portfolio performance measures.
Contact Sonia JIMENEZ (ÉP. BURLACU)Content(s)
1- Asset pricing: a reminder
2- Portfolio management modes
2-1- Financial markets efficiency
2-2- the different types of portfolio management(passive management, active management)
3- The performance measures of a portfolio
3-1- Defining the performance
3-2- The traditional performance measures
3-3- The risk adjusted measures
3-4- The Market Timing measures
Prerequisites
Basics about portfolio theory (concepts seen in the second year of Ensimag).
Test
The assessment will consist in a written exam.
Examen écrit
N1=E1
N2=E2
où
E1 = examen écrit session normale, 1h30 sans document
E2 = examen écrit ou oral (session de rattrapage)
Bibliography
Alphonse, P., Desmuliers, G., Grandin, P., Levasseur, M. "Gestion de portefeuille et marchés financiers", Pearson, 2010.
Bellalah, M. "Gestion de portefeuille analyse quantitative de la rentabilité et des risques", Perason, 2004.
Bodson, L., Grandin, P., Hübner, G., Lambert, M. "Performance de portefeuille", Pearson, 2010.