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Unit information: Investment Management in 2018/19

Please note: you are viewing unit and programme information for a past academic year. Please see the current academic year for up to date information.

Unit name Investment Management
Unit code ECONM2030
Credit points 15
Level of study M/7
Teaching block(s) Teaching Block 2 (weeks 13 - 24)
Unit director Dr. Friederich
Open unit status Not open
Pre-requisites

Asset Pricing ECONM2035

Co-requisites

None

School/department School of Accounting and Finance
Faculty Faculty of Social Sciences and Law

Description

This unit describes the techniques used by investment managers to build and maintain portfolios of stocks and bonds and the techniques used by investors to assess portfolio manager performance.

As such, the course would be excellent preparation for those considering a career in fund management or quantitative trading.

The course has a largely practical bias but the material is presented from a rigorous, model-based perspective. We start with a review of the theory relevant to investment strategies and portfolio choices (market efficiency, basic asset pricing models, the Grossman/Stiglitz paradox…)

The course then develops the theoretical tools to assess the risk-adjusted performance of investment strategies. The unit also examines in detail the empirical evidence available on the performance of professional portfolio managers.

Intended learning outcomes

  1. Demonstrate understanding of and critically evaluate the theory relevant to investment strategies and portfolio choices (market efficiency, basic asset pricing models, the Grossman/Stiglitz paradox…);
  2. Demonstrate understanding of and critically evaluate models of active equity and bond portfolio management;
  3. Demonstrate understanding of and critically evaluate various metrics for assessing portfolio manager performance;
  4. Demonstrate understanding of and critically evaluate in detail the empirical evidence available on the performance of professional portfolio managers.

Teaching details

Please include reference to any distance learning or any significant e-learning components, if appropriate

20 contact hours, split between lectures and exercise lectures (typically 14 hours lectures, 6 hours exercise lectures). In addition, scheduled clinics are organised in which the students can discuss individual questions and problems.

Assessment Details

The unit is assessed via a two-hour examination which tests all intended learning outcomes.

Formative assessment is undertaken through exercise lectures, where students receive verbal and written feedback on their work. Model solutions to practice questions are also available. Students seeking additional, one-to-one support with numerical assignments may attend drop-in clinics scheduled every week.

Reading and References

  • Bodie, Kane and Marcus, Investments, current edition, McGraw-Hill.
  • Litterman, B., Modern Investment Management, Wiley,
  • Grinold and Kahn, Active Portfolio Management, McGraw-Hill

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