NQF credits: 14
Fourth year status‚ first/second semester course‚ two lectures per week.
Course co–ordinator: Professor H Abraham.
Entrance requirements: Graduate.
(a) The Efficient Market Hypothesis (EMH). Efficient Market Hypothesis defined. Empirical studies and anomalies of efficiency. Implications of the EMH for Investment Analysis.
(b) Modern Portfolio Theory. Measures of uncertainty and risk. The Markowitz (Mean Variance) Efficient Frontier. The introduction of a risk free asset. Capital Asset Pricing Model – CAPM. Problems with CAPM. Arbitrage Pricing Theory – APT. Single Index Models for portfolio construction.
(c) Investment policy and portfolio creation. A framework for investment policy. Investment policies and practices for institutions and individuals. Monitoring and re–balancing asset allocation with respect to risk‚ return and investment policy. Case studies in investment management. Investment Strategies. Passive to Active. Structuring an International Investment Strategy.
(d) Performance Attribution analysis. Evaluation of Portfolio Performance. Traditional measures. Sharpe/ Treynor/ Jensen. Decomposition of portfolio performance. Cases in portfolio decomposition. Performance attribution support systems. Value at Risk Measurement.
(e) The measurement and presentation of portfolio returns. Global Investment Performance Standards.
DP requirements: N/A.
Last updated : 15 Jul 2015
Staff Members on this course :
Prof. Haim Abraham