Investment Management

Module code: EC7092

In this module you will study the design of optimal portfolios of financial securities in an uncertain environment. We will use the celebrated model of Harry Markowitz (a Nobel Prize winner) which allows investors to construct the optimal portfolio for any given subjective assessment of the securities’ expected returns and variability of returns. Using this model we can derive market equilibrium conditions, which can help investment managers make an informed assessment of expected returns and of their variability. We will explore the Capital Asset Pricing Model and Arbitrage Pricing Theory, and the tools available to measure the performance of different investment funds over time.

Topics covered

  • Financial securities
  • The efficient frontier and optimal portfolio
  • The single-index model
  • Capital Asset Pricing Model
  • Arbitrage Pricing Theory
  • Measurement of portfolio performance
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