Portfolio Management
- UE code ELFIM400
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Schedule
30Quarter 2
- ECTS Credits 5
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Language
Français
- Teacher Béreau Sophie
At the end of this course, the student should be able to:
- select and rely on appropriate theoretical tools to :
(i) analyse and predict stock returns,
(ii) build a portfolio of stocks from observed individual return series according to standard approaches (Markowitz, Risk budgeting),
- use R software to:
(i) build up portfolio from observed data on stock returns,
(ii) analyse financial returns based on statistical metrics (e.g. mean, variance, covariances/correlation) and via the estimation of benchmark models by means of appropriate econometric techniques (e.g. beta computation via CAPM estimations of on real data, etc.)
The objective of the course is threefold:
The course will be articulated over the following topics:
In parallel, lab sessions in R will be scheduled:
Written exam with closed book including a theoretical part as well as a practical exercise on R.
A group work in R counting for the final grade and assessed by means of a final report that will be presented orally during a collective presentation session.
Slides
Training | Study programme | Block | Credits | Mandatory |
---|---|---|---|---|
Master 120 en ingénieur de gestion, à finalité spécialisée en Analytics & Digital Business | Standard | 0 | 5 | |
Master 120 en sciences de gestion, à finalité spécialisée en Business Analysis & Integration | Standard | 0 | 5 | |
Master 120 en ingénieur de gestion, à finalité spécialisée en data science | Standard | 0 | 5 | |
Master 60 en sciences de gestion | Standard | 0 | 5 | |
Master 120 en sciences de gestion, à finalité didactique | Standard | 0 | 5 | |
Master 120 en sciences de gestion, à finalité spécialisée en Business Analysis & Integration | Standard | 1 | 5 | |
Master 120 en ingénieur de gestion, à finalité spécialisée en data science | Standard | 1 | 5 | |
Master 60 en sciences de gestion | Standard | 1 | 5 | |
Master 120 en sciences de gestion, à finalité didactique | Standard | 1 | 5 | |
Master 120 en ingénieur de gestion, à finalité spécialisée en Analytics & Digital Business | Standard | 1 | 5 | |
Master 120 en sciences de gestion, à finalité didactique | Standard | 2 | 5 |