Registry
Module Specifications
Current Academic Year 2012 - 2013
Please note that this information is subject to change.
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| Description | |||||||||||||||||||||||||||||||||||||||||||||
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The objective of this module is to apply theoretical and analytical concepts to the investment management process. The course covers the theoretical and practical basis of portfolio management. It builds on the modern portfolio theory and focuses on the topics that are important for the practice of fund management. The course includes quantification of the relationship between risk and return, security valuation, asset allocation decisions, portfolio optimisation, performance measurement, portfolio analysis, implementation and computing technology that enhances fund management. The emphasis is on providing students with analytical skills that have an application value. The course aims to give students (1) a deep understanding of the investment management process, (2) be able to apply modern techniques to asset allocation and investment management, and (3) evaluate the performance of portfolio investments. | |||||||||||||||||||||||||||||||||||||||||||||
| Learning Outcomes | |||||||||||||||||||||||||||||||||||||||||||||
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1. Analyse mean-variance portfolio theory 2. Model asset prices 3. Examine portfolio investment strategies 4. Evaluate the performance of investment funds (and fund managers) 5. Apply modern techniques to asset allocation | |||||||||||||||||||||||||||||||||||||||||||||
All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml |
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| Indicative Content and Learning Activities | |||||||||||||||||||||||||||||||||||||||||||||
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Schedule. 1. Mean Variance Portfolio TheoryRisk and return; diversification; efficient frontier; minimum variance portfolio; correlation structures; constraining the efficient frontier - short sales, riskless borrowing and lending.2. Index modelsSingle index model; market model; multi-index model3. Simple techniques for portfolio selectionThe single index model to determine the efficient frontier4. The relationship between index models and asset pricing modelsCapital asset pricing model and related equilibrium models; arbitrage pricing theory; empirical evidence and implications.5. International InvestingDiversification advantages; derivation and implications of the international CAPM; exchange rate risk6. Evaluating Portfolio PerformanceRisk-adjusted measures; Sharpe, Treynor and Jensen Values; Fama decomposition; mutual fund performance; market timing; performance persistence. | |||||||||||||||||||||||||||||||||||||||||||||
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| Indicative Reading List | |||||||||||||||||||||||||||||||||||||||||||||
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| 5865, 0, Research Papers: Course handouts, incorporating reading and other material will be circulated as appropriate., | |||||||||||||||||||||||||||||||||||||||||||||
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| Programme or List of Programmes | |||||||||||||||||||||||||||||||||||||||||||||
| MFCM | MSc in Finance | ||||||||||||||||||||||||||||||||||||||||||||
| Timetable this semester: Timetable for EF5120 | |||||||||||||||||||||||||||||||||||||||||||||
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