040028 KU Advanced FM: Portfolio Management (MA) (2019S)

Overview:

This course aims to develop students’ knowledge and understanding of key issues in asset allocation and portfolio composition/management at an advanced level. In particular, the course aims to provide students with the quantitative and qualitative skills necessary for the construction, revision and evaluation of financial portfolios. The course also aims to provide students with the opportunity to develop their ability to challenge current theoretical and empirical research in the field of portfolio management and the implications of such research into alternative portfolio composition and portfolio management strategies. Students will first be introduced to the portfolio formation and asset allocation process. After revisiting the tools of portfolio construction and diversification, students will develop an understanding of equity portfolio management strategies and portfolio performance evaluation. The course will culminate with a discussion of bond portfolio management strategies as well as other fixed income securities.

Course outline:

This course will cover, but will not be limited to, the following topics:
– The Investment Environment
– Portfolio Formation and Asset Allocation
– Utility Theory: Risk Aversion, Mean-Variance, Portfolio Theory and Practice
– Equilibrium in Capital Markets & Quantitative Equity Investing
– Optimal Risky Portfolios & Equity Portfolio Management
– Fixed Income Securities
– Options, Futures and other Derivatives
– Applied Portfolio Analysis & Portfolio Performance Evaluation

Intended Learning Outcomes (ILOs):

After completing the course, all students will be able to:
– Calculate and interpret expected and historical risk and return measures for individual
securities and a portfolio of securities.
– Describe the steps in the portfolio management process and formulate an investment
policy statement.
– Calculate the covariance and correlation between securities and explain how correlation
affects the standard deviation of a portfolio.
– Describe the implications of the major findings of behavioral finance research on
the efficient market hypothesis.
– Construct equity portfolios using passive and active equity portfolio management
techniques.
– Understand equity investment styles.
– Describe how to monitor and re-balance an equity portfolio.
– Assess portfolio performance.
– Evaluate a portfolio manager’s market timing and security selection skills through
attribution analysis.
– Describe basic fixed income portfolio strategies.

After completing the course, in addition to the learning outcomes above, all graduate
students will be able to:
- Develop, re-balance and evaluate a portfolio that is constructed for a client based
on the client’s objectives and constraints.