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Portfolio Management, 6 credits
Portföljförvaltning, 6 hp
TPPE33
Main field of study
Industrial Engineering and ManagementCourse level
Second cycleCourse type
Programme courseExaminer
Jörgen BlomvallDirector of studies or equivalent
Fredrik PerssonEducation components
Preliminary scheduled hours: 30 hRecommended self-study hours: 130 h
ECV = Elective / Compulsory / Voluntary
Main field of study
Industrial Engineering and ManagementCourse level
Second cycleAdvancement level
A1XCourse offered for
- Industrial Engineering and Management - International, M Sc in Engineering
- Industrial Engineering and Management, M Sc in Engineering
- Applied Physics and Electrical Engineering, M Sc in Engineering
- Applied Physics and Electrical Engineering - International, M Sc in Engineering
Entry requirements
Note: Admission requirements for non-programme students usually also include admission requirements for the programme and threshold requirements for progression within the programme, or corresponding.
Prerequisites
Basic course in optimization, mathematical statistics and basic course about financial instrumentsIntended learning outcomes
After the course the student is expected to:
- Be able to explain management strategies for financial portfolios
- Be able to develop and use single- and multi-factor models to predict future expected portfolio performance
- Be able to use modern portfolio theory to determine optimal management
- Be able to evaluate portfolio management with modern portfolio theory
Course content
- Portfolio management: Asset classes; Active/passive management; Hedge funds
- Basic return and risk calculations
- Markowitz portfolio selection theory
- Capital Asset Pricing Model: Basic and modified versions
- Multi-factor models: Arbitrage Pricing Theory and empirical models
- Performance measurement with single- and multi-factor models.
- Methods for choice of fund manager and decomposition of manager performance
Teaching and working methods
Lectures and computer exercises.
Examination
PRA1 Written and oral presentation of project work 6 credits U, 3, 4, 5 Grades
Four-grade scale, LiU, U, 3, 4, 5Other information
Supplementary courses:
Financial optimizationDepartment
Institutionen för ekonomisk och industriell utvecklingDirector of Studies or equivalent
Fredrik PerssonExaminer
Jörgen BlomvallEducation components
Preliminary scheduled hours: 30 h
Recommended self-study hours: 130 hCourse literature
Amenc och Le Sourd: Portfolio Theory and Performance Analysis
| Code | Name | Scope | Grading scale |
|---|---|---|---|
| PRA1 | Written and oral presentation of project work | 6 credits | U, 3, 4, 5 |
Regulations (apply to LiU in its entirety)
The university is a government agency whose operations are regulated by legislation and ordinances, which include the Higher Education Act and the Higher Education Ordinance. In addition to legislation and ordinances, operations are subject to several policy documents. The Linköping University rule book collects currently valid decisions of a regulatory nature taken by the university board, the vice-chancellor and faculty/department boards.
LiU’s rule book for education at first-cycle and second-cycle levels is available at http://styrdokument.liu.se/Regelsamling/Innehall/Utbildning_pa_grund-_och_avancerad_niva.
Course literature is preliminary.
Amenc och Le Sourd: Portfolio Theory and Performance Analysis
Note: The course matrix might contain more information in Swedish.
I = Introduce, U = Teach, A = Utilize
| I | U | A | Modules | Comment | ||
|---|---|---|---|---|---|---|
| 1. DISCIPLINARY KNOWLEDGE AND REASONING | ||||||
| 1.1 Knowledge of underlying mathematics and science (G1X level) |
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X
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| 1.2 Fundamental engineering knowledge (G1X level) |
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X
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| 1.3 Further knowledge, methods, and tools in one or several subjects in engineering or natural science (G2X level) |
X
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X
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X
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| 1.4 Advanced knowledge, methods, and tools in one or several subjects in engineering or natural sciences (A1X level) |
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| 1.5 Insight into current research and development work |
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| 2. PERSONAL AND PROFESSIONAL SKILLS AND ATTRIBUTES | ||||||
| 2.1 Analytical reasoning and problem solving |
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X
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X
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| 2.2 Experimentation, investigation, and knowledge discovery |
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| 2.3 System thinking |
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X
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| 2.4 Attitudes, thought, and learning |
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X
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| 2.5 Ethics, equity, and other responsibilities |
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| 3. INTERPERSONAL SKILLS: TEAMWORK AND COMMUNICATION | ||||||
| 3.1 Teamwork |
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X
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| 3.2 Communications |
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X
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| 3.3 Communication in foreign languages |
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| 4. CONCEIVING, DESIGNING, IMPLEMENTING AND OPERATING SYSTEMS IN THE ENTERPRISE, SOCIETAL AND ENVIRONMENTAL CONTEXT | ||||||
| 4.1 External, societal, and environmental context |
X
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| 4.2 Enterprise and business context |
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X
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| 4.3 Conceiving, system engineering and management |
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| 4.4 Designing |
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| 4.5 Implementing |
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| 4.6 Operating |
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| 5. PLANNING, EXECUTION AND PRESENTATION OF RESEARCH DEVELOPMENT PROJECTS WITH RESPECT TO SCIENTIFIC AND SOCIETAL NEEDS AND REQUIREMENTS | ||||||
| 5.1 Societal conditions, including economic, social, and ecological aspects of sustainable development for knowledge development |
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| 5.2 Economic conditions for knowledge development |
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| 5.3 Identification of needs, structuring and planning of research or development projects |
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| 5.4 Execution of research or development projects |
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| 5.5 Presentation and evaluation of research or development projects |
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