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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.
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
Basics about portfolio theory (concepts seen in the second year of Ensimag).
The assessment will consist in a written exam.
The course exists in the following branches:
Course ID : WMMFMB12
Course language(s):
The course is attached to the following structures:
You can find this course among all other courses.
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.
Date of update January 15, 2017