Кто читает:: Международный институт экономики и финансов

Статус:: Курс обязательный

Когда читается:: 4-й курс, 1-4 модуль

Преподаватели

Димова Елена Анатольевна

Качалов Дмитрий Александрович

Кирьянов Владислав Владимирович

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Abstract

Pre-requisites: Microeconomics, basic calculus and probability theory, linear algebra, Principles of banking and finance. Investment Management is a year-long course for 4th year students at ICEF. The course is taught in English.

Learning Objectives

provide an overview of institutional details linked to financial markets and the trading process
provide an overview of historical trends and innovations in financial instruments and trading processes
provide an overview of various financial instruments
provide insight into the use of finance theory in investment management
provide a guide to the measurement and analysis of risk of financial investments
provide a guide to the measurement of performance of fund management
address key issues in risk management

Expected Learning Outcomes

provide an overview of institutional details linked to financial markets and the trading process, define market microstructure and evaluate its importance to investors
evaluate the investment attractiveness of the main financial assets to be included in the investment portfolio using quantitative and/or qualitative methods and considering their (methods) limitations
сalculate and interpret the value and returns of security market indexes, discuss how they are used in investment management industry
provide insight into the use of finance theory in investment management
apply the principles of portfolio planning and construction to develop an investment policy statement depending on the type of investor and his individual characteristics
develop investment strategies for portfolio management, taking into account regulatory aspects, risk budgeting, and other restrictions, identify investment opportunities globally
calculate and interpret the main indicators for evaluating the effectiveness of portfolio management and analyzing the results obtained in comparison with the selected benchmark
implement the risk management techniques
analyze and interpret domestic and foreign statistics, economic and financial market indicators relevant for making investment decisions, identify global trends
provide a critical view on the financial markets’ evolution process, recent fintech innovations & trends
refer to sources of information, collect initial data, systematize information and present information in a visual form
Be able to follow the key steps in the Investment Management Process
Analyze various approaches to estimating Value at Risk (VaR) and examine their advantages and limitations, including extensions such as Conditional VaR (CVaR), Incremental VaR (IVaR), and Relative VaR.
Apply risk management techniques, including the use of constraints, sensitivity measures, scenario analyses, and hedging strategies, to manage extreme risks and allocate risk capital effectively.
Examine different types of risk, methods of risk decomposition, and various risk-adjusted performance measures, including early techniques and composite portfolio performance evaluation.
Assess factors influencing the application of performance measures, evaluate bond portfolio performance, and analyze performance measurement methods in dynamic portfolios involving market timing.
Explain bond mathematics, the term structure of interest rates, yield to maturity, and duration; evaluate bond portfolio performance, style, and strategic approaches.
Analyze bond portfolio management strategies—including passive, active, core-plus, matched-funding, contingent, and structured management—and examine techniques such as immunization and interest rate swaps.
Compare active and passive investment strategies, assess the role of equities in a portfolio, and evaluate approaches to passive equity investing, including benchmark selection and tracking error management.
Analyze techniques for immunizing equity portfolios, transforming diversified portfolios into arbitrage portfolios, and constructing active equity portfolios using various management strategies and building blocks.
Assess the application of economic analysis in investment decision-making, including business cycle phases, sector rotation, and the interpretation of key economic indicators such as GDP, labor markets, and production variables.
Examine macroeconomic influences on capital markets by analyzing financial market indicators, interpreting central bank interest rate decisions, yield curves, market volatility, and commodity prices to inform investment strategies.

Course Contents

Introduction to the course. The Investment Setting & Issues.
Securities Markets: How Securities are Traded
Security Market Indexes and Index Funds
Instruments: Overview of Investment Characteristics
Fund Management and Investment
Economic and Market Analysis for Investment
Dynamics and Evolution of Financial Markets
Market Efficiency and Behavioral Finance
Global Investing & International Diversification
Efficient Diversification
Capital Asset Pricing Models & Arbitrage Pricing Theory
Equity Portfolio Management
Managing Bond Portfolios
Risk and Performance Measurement
Risk Management
The Investment Management Process
ESG Investing

Assessment Elements

Class assignments, quizzes, attendance, activity & participation
1st semester written assessment (covering the topics of the 1-2 modules)
Final Exam (covering the topics of the 3-4 modules)
In order to get a passing grade for the course, the student must sit (all parts) of the final examination
Homework Assignments (1-4 modules)

Interim Assessment

2024/2025 4th module
0.29 * 1st semester written assessment (covering the topics of the 1-2 modules) + 0.12 * Class assignments, quizzes, attendance, activity & participation + 0.4 * Final Exam (covering the topics of the 3-4 modules) + 0.19 * Homework Assignments (1-4 modules)

Bibliography

Recommended Core Bibliography

CAIA Association, Donald R. Chambers, Hossein B. Kazemi, & Keith H. Black. (2020). Alternative Investments : An Allocator’s Approach. Wiley.
Dempsey, M. (2020). Investment Analysis : An Introduction to Portfolio Theory and Management. London: Routledge. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2278900
Herbert B. Mayo. (2020). Investments: An Introduction, Edition 13. Cengage Learning.
Pagdin, I., & Hardy, M. (2017). Investment and Portfolio Management : A Practical Introduction (Vol. 1st). London: Kogan Page. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1621031
Redhead, K. (2008). Personal Finance and Investments : A Behavioural Finance Perspective. London: Routledge. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=237524
Stewart, S. D., Piros, C. D., & Heisler, J. (2019). Portfolio Management : Theory and Practice (Vol. Second edition). Hoboken, New Jersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=2091393

Recommended Additional Bibliography

Alexander, G. J., Sharpe, W. F., & Bailey, J. V. (2012). Fundamentals of investments. Slovenia, Europe: Prentice Hall. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.C1BEBDC4
Filbeck, G., & Baker, H. K. (2013). Alternative Investments : Instruments, Performance, Benchmarks, and Strategies. Hoboken: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=561429
Kazemi, H., Black, K. H., CAIA Association, & Chambers, D. R. (2016). Alternative Investments : CAIA Level II (Vol. Third edition). Hoboken, New Jersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1358585
Th’eo Roncalli, Th’eo Le Guenedal, Fr’ed’eric Lepetit, Thierry Roncalli, & Takaya Sekine. (2020). Measuring and Managing Carbon Risk in Investment Portfolios. Papers.
Weiss, D. M. (2014). Derivatives : A Guide to Alternative Investments. New York, New York: Portfolio. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1126741

Authors

Dimova Elena Anatolevna

Бакалаврская программа «Международная программа по экономике и финансам»

Консультации абитуриентов

Контакты

Investment Portfolio Management