OUR ACADEMIC DEPARTEMENTS

Lesson details

MULTI-MOMENT PORTFOLIOS: AN INTRODUCTION
2018-2019	EnIESEG School of Management ( IÉSEG )
Class code :	1819-IÉSEG-M1S1-FIN-MA-EI82UE	FINANCE

Level	Year	Period	Language of instruction
Master	1	S1	EnEnglish

Academic responsibility	K.KERSTENS
Lecturer(s)	K.KERSTENS

IÉSEG > IESEG Degree - Programme Grande École > Semester 1 > 2,00 ECTS

Prerequisites

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.

Learning outcomes

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

Course description

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

Class type

Class structure

Type of course	Numbers of hours	Comments
Independent work
Research	8,00
Independent study
Estimated personal workload	8,00	Team presentations
Face to face
Interactive class	16,00
Total student workload	32,00