Portfolio Management

• Credit value: 30 credits at Level 6
• Convenor: Dr Kenjiro Hori
• Prerequisites: Principles of Finance and Quantitative Techniques I
• Assessment: examination (80%) and coursework (20%)

In this module we introduce you to the theory and practice of portfolio construction and management. We begin with a treatment of the basic financial instruments such as bonds and shares and their derivatives, including futures and options. The financial theory of the valuation of these derivative securities is then used as a basis to discuss trading strategies. We will also deal with the monitoring and evaluation of risky portfolios.

A recent inclusion is the discussion of credit derivatives (CDO and CDS) and their role in the recent credit crisis.

By the end of this module, you will:

• understand the processes of speculation and arbitrage and be able to identify strategies that exploit trading and arbitrage opportunities
• understand the functions of portfolio managers and their role in assessing the objectives and constraints of the investor client
• know how to measure, adjust and assess realised portfolio performance
• understand the role of hedging in portfolio management and be able to design efficient hedging strategies.