Investment Management

Module code: EC7092

Module co-ordinator: Dr Aristotelis Boukouras

Investment Management studies the design of optimal portfolios of financial securities in an uncertain environment. The main building block of the analysis is 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. The analysis then uses this model to derive market equilibrium conditions, which can help investment managers make an informed assessment of expected returns and of their variability. The main approaches here are the Capital Asset Pricing Model and Arbitrage Pricing Theory. Finally, Investment Management provides tools 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

Learning

  • Twenty one-hour lectures
  • Five one-hour tutorials

Assessment

  • Coursework: 30%
  • Exam: 70%
Back to top
MENU