|Course code module||FTEMAJ0019|
|Study load (hours)||168|
|Language of instruction:||English|
|Semester exam information:||semester exam in January|
|Contract restriction information:|
- time value of money
- descriptive statistics
- normal distribution
- hypothesis tests on the mean
- linear regression
2. Objectives (expected learning outcomes)
- building investment portfolios
- pricing financial assets
- evaluating investment performance
- recognize the practical implications of academic research
- obtain a general overview of the empirical literature
- write academic reports
- use financial functions in Excel
- obtain a critical attitude w.r.t. marketing campaigns by new financial products
3. Course content
In this course, an overview is given of the different techniques
that can help the investor to compose their investment portfolio, to
analyse potential investment assets and to evaluate ex post their
investment decisions (or those of others). In teaching these concepts,
the perspective of the institutional investor is taken (e.g. insurance
company, investment company, mutual fund). We divide the investment
process into three steps:
- “Asset allocation”
step: how are long term investment goals formulated and how do they
lead to a subdivision of the portfolio into the large asset categories
(e.g. equity, bonds, cash). In this step, the macro-economic context is
- “Security selection”
step: given the asset allocation decision, how do we fill in these
categories withn individual assets: which bonds do we buy, from which
companies do we buy stocks,… ? It goes without saying that to answer
these questions, we need some techniques and concepts to be able to
value bonds and stocks. Also options and futures need to be understood
as they offer additional investment opportunities or hedging
after having constructed an investment portfolio, it is equally
important to regularly evaluate to what extent these decisions a)
conform to the investment goals; and b) yield the desired results. The
techniques to answer these questions are dealt with in this part of the
4. Teaching method
Direct contact: Lectures
Personal work: Assignments - in group
5. Assessment method
Exam: Written, without oral presentationClosed bookOpen questionsPractical exam
Continuous assessment: Assignments
Written assignment: Without oral presentation
6. Compulsory reading – study material
- Bodie, Kane & Marcus (2008), Investments, Homewood, Irwin (7th edition).
- Additional reading materials on Blackboard
7. Recommended reading - study material
- Broquet, C., R. Cobbaut, R. Gillet en A. van den Berg,
Gestion de portefeuille. Actions, obligations, options, 3ième édition,
1997, De Boeck-Wesmael.
- Campbell, J.Y., A.W. Lo, en A.C. MacKinlay, The Econometrics of Financial Markets, 1997, Princeton University Press.
- Elton, E.J., M.J. Gruber, S.J. Brown, & W.N.
Goetzmann, 2007. Modern Portfolio Theory and Investment Analysis (John
Wiley & Sons, New York), 7th edition.
- Fabozzi, F.J., Bond Markets, Analysis and Strategies, 5th edition, Prentice-Hall International, 2004.
- Hull, J., 2006. Options, Futures, and Other Derivatives (Prentice Hall, Upper Saddle River), 6th edition.
- Jarrow, R.A., V. Maksimovic en W.T. Ziemba (red.),
Finance, Handbooks in Operations Research and Management Science, Vol.
9, 1995, Elsevier North-Holland
- Sharpe, W.F., G.J. Alexander en J.V. Bailey, Investments, 6th edition, 1999, Prentice-Hall.
- Solnik, B. en McLeavey, International Investments, 5th edition, 2003, Addison-Wesley.
- Van Horne, J.C., Financial Market Rates and Flows, 5th edition, 1998, Prentice Hall.
laatste aanpassing: last update: 19/09/2007 10:22 jan.annaert