MSc Quantitative Finance / Course details

This course covers:

• Portfolio Theory
• Portfolio Risk and Return Analysis
• Diversification strategies
• Equity valuation
• Macro / Industry Analysis
• Strategic and Tactical Asset Allocation
• Portfolio optimization techniques
• Passive Investment Strategies
• Active Investment Strategies
• VaR Analysis
• Alternative Performance and Risk Measures, Tracking Error
• Investment Style Analysis

BMAN71171 Programme Req: BMAN71171 is only available as a core unit to students on MSc Finance, and as an elective to students on MSc Accounting & Finance and MSc Quantitative Finance

This course unit provides an advanced coverage of the principles of investment analysis, and covers a wide- ranging set of topics in portfolio management. It aims to bring contemporary practices in the finance industry to the classroom, together with academic theory and research, and supplement them with recent practitioner developments in this area.

On completion of this unit successful students will have achieved the following learning outcomes:

• Be able to formulate and apply the investment decision process, selecting assets matching investment objectives, and achieving portfolio diversification and risk-return optimization.
• Be able to understand, apply and evaluate how factor models are used in portfolio selection and management, and how securities are selected based on intrinsic valuation, sector analysis, and market timing.
• Be able to apply their understanding of issues related to investing globally and in emerging markets, in particular, with regard to the issues of diversification.
• Be able to understand, apply and evaluate the key attributes of an equity portfolio, including: Tracking Error, Passive Strategies, Active Investing, and Active vs Passive Management.
• Gain hands-on experience of portfolio risk analysis tools, and use them to create and evaluate equity portfolios throughout the course.

Group project on portfolio management and evaluation: 40%

Written Examination: 60%

Informal advice and discussion during the workshops or drop-in Group Project Sessions.

Responses to student emails and questions from a member of staff including feedback provided to a group via an online discussion forum.

Written and/or verbal comments on assessed or non-assessed coursework.

Generic feedback posted on Blackboard regarding overall examination performance.

Core Text:

1.    Frank K. Reilly, Keith C. Brown (2015), Analysis of investments & management of portfolios, South-Western Cengage Learning, (RB), ISBN 1473704790 (pbk.);12 copies of the 2015 version are on order for the library, and there will be 2 copies of the electronic version available on the Library website, accessible with University username and password. There are also numerous copies of the 9th edition of the same title, and the 6th edition (entitled Investment Analysis and Portfolio Management) available in the Precinct library. References in lectures are quoted for the 2015 edition, the 9th edition and the 6th edition.

2.    Bodie Z., A. Kane , A. Marcus (2014), Investments, 10th global edition, McGraw Hill, (BKM), ISBN: 9780077161149 Copies are available in the Main Library (26 copies) and Eddie Davies Library (15 copies). 

3.    Bodie Z., A. Kane , A. Marcus (2009), Investments, 8th edition, McGraw Hill, (BKM), ISBN: 9780071278287 Copies are available in the Eddie Davies Library (20 copies).

4.    George Pennacchi, Theory of Asset Pricing 

Supplementary Text: 

1.Elton, J.E., (2011) Modern Portfolio Theory and Investment Analysis, 8th Edition, Wiley, (EGBG), ISBN-13:9780470505847

2.Maginn J.L, Tuttle D.L, Pinto J.E, McLeavey D.W, (2007), Managing Investment Portfolios, 3rd Edition, Wiley Publishing. ISBN: 978-0-470-08014-6 Hard copies are available in the Precinct Library, and an electronic version is available on the Library website, accessible with University username and password.

3. Focardi, S., and Fabozzi, F.J. (2004) The Mathematics of Financial Modelling and Investment Management, Wiley, (FF); Hard copies are available in the Precinct Library, and an electronic version is available on the Library website, accessible with University username and password.

Detailed reading suggestions will be given during the course. A wide variety of supplementary academic papers, research notes and spreadsheet models will be available through the course Blackboard.

Informal Contact Methods

Office Hours

Online Learning Activities (blogs, discussions, self-assessment questions)

Revision Sessions

Use of Blackboard Discussion Forum