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IB552L: ASSET PRICING AND PORTFOLIO MANAGEMENT (2022-2023)

Last modified: 31 Jul 2023 11:19


Course Overview

This course examines asset pricing and portfolio management within a modern practical context.  The heart of modern portfolio theory is development of the relationship between expected return and risk. We analyse this central concept using an active learning approach to portfolio optimisation. This is where you build and estimate a portfolio optimisation model in Excel. Thereafter, we compare portfolio weights where different asset pricing models are used to estimate expected returns. During the course consideration is also given to performance measurements such as the Sharpe ratio and Jensen’s alpha. At the heart of our discussion is fulfillment of the objectives, given the constraints of the investor (client) who may be an individual or an institution (such as an endowment or pension fund). Following the ethics provided by the Chartered Financial Analyst (CFA) Institute our aim is to embed contemporary developments in asset pricing within the context of the professional investment arena and the portfolio manager.

Course Details

Study Type Postgraduate Level 5
Term Second Term Credit Points 15 credits (7.5 ECTS credits)
Campus Aberdeen Sustained Study No
Co-ordinators
  • Dr Paul-Olivier Klein

What courses & programmes must have been taken before this course?

  • Any Postgraduate Programme (Studied)

What other courses must be taken with this course?

None.

What courses cannot be taken with this course?

None.

Are there a limited number of places available?

No

Course Description

This course examines asset pricing and portfolio management within a modern practical context.  The heart of modern portfolio theory is development of the relationship between expected return and risk. We analyse this central concept using an active learning approach to portfolio optimisation. This is where you build and estimate a portfolio optimisation model in Excel. Thereafter, we compare portfolio weights where different asset pricing models are used to estimate expected returns. During the course consideration is also given to performance measurements such as the Sharpe ratio and Jensen’s alpha. At the heart of our discussion is fulfillment of the objectives, given the constraints of the investor (client) who may be an individual or an institution (such as an endowment or pension fund). Following the ethics provided by the Chartered Financial Analyst (CFA) Institute our aim is to embed contemporary developments in asset pricing within the context of the professional investment arena and the portfolio manager.


Details, including assessments, may be subject to change until 30 August 2024 for 1st term courses and 20 December 2024 for 2nd term courses.

Summative Assessments

Essay

Assessment Type Summative Weighting 30
Assessment Weeks Feedback Weeks

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Feedback Word Count 1200
Learning Outcomes
Knowledge LevelThinking SkillOutcome
Sorry, we don't have this information available just now. Please check the course guide on MyAberdeen or with the Course Coordinator

Analytical Research

Assessment Type Summative Weighting 70
Assessment Weeks Feedback Weeks

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Feedback

2000 words.

Learning Outcomes
Knowledge LevelThinking SkillOutcome
Sorry, we don't have this information available just now. Please check the course guide on MyAberdeen or with the Course Coordinator

Formative Assessment

There are no assessments for this course.

Course Learning Outcomes

Knowledge LevelThinking SkillOutcome
FactualRememberILO’s for this course are available in the course guide.

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