Ce cours apparaît dans les formations suivantes :
• IÉSEG > IESEG Degree - Programme Grande École > Semester 1 > 2,00 ECTS

Pré requis

Basic portfolio theory course (Mean-variance Markowitz model).
Basic optimization course (Linear Programming, Integer Programming, Non-Linear Programming).
Basic knowledge of Excel Solver add-in.

Objectifs du cours

The limitations of the traditional mean-variance portfolio approach are well-known, but unfortunately few alterative portfolio approaches have received widespread recognition.
The course focuses on recent attempts to include higher order moments (e.g., skewness and kurtosis) in portfolio modelling.
This course serves 3 purposes:
(i) to develop an intuitive understanding of investor preferences regarding higher moments,
(ii) the development of multi-dimensional portfolio and fund rating models,
(iii) the application of these tools and the managerial interpretation of its results.

At the end of the course, the student should be able to:
- understand higher order moments
- understand the typical results of the higher order moments portfolios

Contenu du cours

The topics treated in the course include the following:
- MV Tradition
- Alternative Mean- Risk models
- Portfolio Performance: Need to Move Beyond MV
- Multidimensional Portfolio Performance: Adding Skewness
- Multidimensional Portfolio Performance: Multi-Horizon
- An Alternative MVS Portfolio Method: Polynomial Goal Programming (PGP)
- Problems of Traditional Performance Measures
- Mutual Fund Rating

Modalités d'enseignement

Organisation du cours

Méthodes pédagogiques

• E-learning
• Presentation
• Research
• Tutorial

Évaluation

Participation in discussions and exercises (some in a team of 2): 50%
Traditional exam with mainly multiple choice questions: 50%

Bibliographie

• Recommended book: Jurczenko, E., B. Maillet (eds) (2006) Multi-moment Asset Allocation and Pricing Models, New York, Wiley. -

Ressources internet

• This course has its own web page at the intranet with additional material (Excel files) and some interesting links. Students are invited to explore it.