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Master of Science in Finance

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Module 08 - Portfolio Management

The main objective of this course is to give students an integrative presentation of the theory and practice of portfolio management. The course begins with a presentation of the key concepts and fundamental models of portfolio theory and a survey of their applications. Topics covered include: optimal diversification, factor and equilibrium pricing models, market efficiency, higher moment analysis, shrinkage techniques, the core-satellite model and the Black-Litterman extension of the Markowitz portfolio management paradigm. The course then focuses on the principles and strategies of portfolio management. A class assignment includes active and passive management simulation, stock and bond portfolio management, risk management and portfolio insurance, as well as performance evaluation.

Written by DELPHINE DUFIET
Date of update June 30, 2008

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