Content

Term 1: Equity Portfolio Management

Key topics include:

• capital market expectations and asset allocation
• portfolio optimisation
• risk measurement and management
• factor models and style analysis
• active-passive investment strategies
• risk-adjusted performance measurement
• hedge funds and alternative investments
• behavioural finance.

In recent years, significant progress has been made in developing a set of tools one can use to tackle investment management. You are introduced to asset allocation, portfolio optimisation and risk management models. You look at the trade-offs that come with active and passive investment strategies and study how to use factor models to allocate assets. You also cover recent advances in behavioural finance, risk management and alternative investments. Finally, you consider manager selection and monitoring, as well as performance evaluation.

Term 2: Fixed Income Markets and Bond Portfolio Management

Key topics include:

• fixed income instruments and their derivatives
• the term structure of interest rates
• valuation using "no-arbitrage" techniques
• interest rate and credit derivatives
• interest rate risk and credit risk management. 

This programme enables you to study a wide array of fixed income instruments, including government bonds, bonds subject to credit risk, swaps, interest rate derivatives as well as collateralised bond obligations and other credit derivatives. Initially, you acquire a set of tools to analyse and value these instruments. You then study the portfolio management issues associated with these instruments, with a particular emphasis on the management of interest rate and credit risk.

 Term 3: Derivatives, Markets and Models

Key topics include:

• futures, forwards and swaps
• options and their pricing models
• static and dynamic arbitrage
• default risk
• weather / electricity / telecom derivatives
• options on new ventures / actively managed portfolios
• practical applications on derivatives.

The programme introduces you to a wide variety of derivative instruments and their characteristics. You also study the mathematical models developed to price and hedge these products (e.g. Black Scholes). Finally, you explore the limitations of these models and what this implies for their practical applications.