Investment Management
24/02/2013
1
25721
INVESTMENT MANAGEMENT
Lecturers: Sean Anthonisz Nadima El-Hassan Jianxin Wang Brandon Zhu
Subject Coordinator: Jianxin Wang
Objectives
2
Why do you take this subject? What do you expect to learn? How much did you pay for this subject? Is this a good investment?
Investment Decisions
3
How much should I invest in risky assets? How much should I invest in different risky assets?
How many risky assets should I hold? When not to diversify?
How to determine mispricing?
Fair value today? Expected return next year? How well do asset pricing models work?
1
24/02/2013
Investment Decisions
4
Passive versus active investing
Is market efficient? Why not? What does it take to beat the market? How to hedge and how much to hedge? Derivative pricing Trading cost, liquidity, private information
How should I manage risk?
How should I trade?
Sources of my performance?
What Do We Learn in This Subject?
5
A theoretical framework for portfolio construction. A theoretical framework for the pricing of equities and bonds. Some practical applications of asset pricing models and portfolio analysis. Issues relating to market efficiency and investor behaviour.
Course Structure
6
Funds Management
Information
Portfolio Theory
Risk and Return
Markets and Investing
CAPM
Factor Models & APT
Options
Fixed Income
Equities
Futures
2
24/02/2013
Investment Electives
7
25705 Financial Modelling and Forecasting 25728 Bond Portfolio Management 25729 Applied Portfolio Management 24731 International Finance 25762 Synthetic Financial Products A whole range of subjects for Quant Fin majors: technical analysis, numerical analysis, fin econometrics, stat methods, derivative pricing, interest rate modelling.
Prerequisite
8
25742 Financial Management Basic math and statistics
Basic calculus and optimization Probability and distributions Mean, variance, standard deviation,
1
25721
INVESTMENT MANAGEMENT
Lecturers: Sean Anthonisz Nadima El-Hassan Jianxin Wang Brandon Zhu
Subject Coordinator: Jianxin Wang
Objectives
2
Why do you take this subject? What do you expect to learn? How much did you pay for this subject? Is this a good investment?
Investment Decisions
3
How much should I invest in risky assets? How much should I invest in different risky assets?
How many risky assets should I hold? When not to diversify?
How to determine mispricing?
Fair value today? Expected return next year? How well do asset pricing models work?
1
24/02/2013
Investment Decisions
4
Passive versus active investing
Is market efficient? Why not? What does it take to beat the market? How to hedge and how much to hedge? Derivative pricing Trading cost, liquidity, private information
How should I manage risk?
How should I trade?
Sources of my performance?
What Do We Learn in This Subject?
5
A theoretical framework for portfolio construction. A theoretical framework for the pricing of equities and bonds. Some practical applications of asset pricing models and portfolio analysis. Issues relating to market efficiency and investor behaviour.
Course Structure
6
Funds Management
Information
Portfolio Theory
Risk and Return
Markets and Investing
CAPM
Factor Models & APT
Options
Fixed Income
Equities
Futures
2
24/02/2013
Investment Electives
7
25705 Financial Modelling and Forecasting 25728 Bond Portfolio Management 25729 Applied Portfolio Management 24731 International Finance 25762 Synthetic Financial Products A whole range of subjects for Quant Fin majors: technical analysis, numerical analysis, fin econometrics, stat methods, derivative pricing, interest rate modelling.
Prerequisite
8
25742 Financial Management Basic math and statistics
Basic calculus and optimization Probability and distributions Mean, variance, standard deviation,