COURSE SYLLABUS

« ADVANCED QUANTITATIVE PORTFOLIO MANAGEMENT »

1/ COURSE SPECIFICATIONS:

- Title: Advanced Quantitative Portfolio Management- Language: English- Instructor: Pr. Dr. Bertrand B. Maillet- Specialized Master: MSc in Finance

- Learning Goals / Learning objectives:

-This course gives an overview of standard and advanced quantitative methods for portfolio management: it begins with the standard mean variance analysis before entering to some of the main post-modern portfolio analyses, specifically dealing with main characteristics of financial variables.

- Contribution to the Learning Outcomes of the program (MS, MSc etc.)

It gives a large overview of a crucial subject in finance which is the grounding of the activity of a portfolio manager - which is one of the possible job the program is designed for.

2/ LEARNING OUTCOMES

- Concepts and theories to which students were exposed during the course:Risk return and performance trade-off. Mean-variance analysis. Markowitz’s theory.

Risk measures, performance measures. CAPM and APT models. Financial investment and strategies design.

- The knowledge acquired by the students at the end of the course:At the end of the course students should know to:

Build an efficient and adequate portfolio; follow its various risks; design fair products; make tactical and strategic asset allocation; evaluate any simple product; know the complete process regarding the portfolio construction; gauge its performance and risk in various ways.

The skills acquired by the students at the end of the course:

At the end of the course students should be able to:

1. Pose an asset allocation problem;2. Build the optimal portfolio according to various criteria;3. Implement the solutions with IT ad hoc languages and market data;4. Discuss the results and make comparisons with different methods;5. Explain and justify their choices all along the process.

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- The deliverables and productions that students will be able to present after having taken the course:

Small projects using an IT implementation.

- The people that student will have met or contacted during the course:

Professionals from the banking or insurance sector might come and teach.

- The different “entrepreneurs for the world” postures/principles that students will have developed through the involvement in the course:(Not all of them necessarily apply; please select only the most relevant ones)

- Openness to the world and to Society- Multidisciplinary approach openness- Multicultural openness- Critical posture- Responsible behaviour- Creative and original perspective- Risk tolerance

- The learning experiences that students will live:Team-work for projects; search for market financial data; use of Bloomberg - Morningstar data providers.

3/ ASSESMENT OF THE DIFFERENT LEARNING OUTCOMES

Assessment activities:

- Form of the individual and group assessment + percentage

- Individual assessment: 70 % final written test- Group assessment: 30 %: group-works

- Assessment of the acquired skills and knowledge:

Title Assessment method

Exam Project HomeworkkSkill 1 Define asset allocation problems X X X

Skill 2 Compute optimal portfolios X X XSkill 3 Implementation XSkill 4 Results comment X X

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4/ LEARNING ACTIVITIES

- Organization, methods and pedagogical means:

The course is associated with some reference books (see bibliography) and software MatLab2018b applications.

- Precise sequence description:

Session 1: From Classical to Behavioural Portfolio Theories

Session 2: Modern Portfolio Theory in Practice

Session 3: Improved Implementations of the Modern Portfolio Theory

Session 4: Introducing Views into Portfolio Theories

Session 5: From Efficient Portfolio to Asset Evaluation

Session 6: From Mono- to Multi-factors Asset Evaluations

Session 7: Advanced Performance Measures within the Four Families

Session 8: Introduction to Structured Portfolio Management

- Bibliography:

Ingersoll J., (1987), “Theory of Financial Decision Making”, Rowman and Littlefield, 496 pages.

Jondeau E., S.-H. Poon, and M. Rockinger, (2006), “Financial Modeling Under Non-Gaussian Distributions”., Springer, 541 pages.

Maillet B., M. Caporin, G. Jannin and F. Lisi, (2016) “Performance Measures in Financial Markets”. Book in progress, 100 pages.

Prigent J.-L., (2007), “Portfolio Optimization and Performance Analysis,”, Chapman & Hall.

Quittard-Pinon F., (2003), “Marchés des Capitaux et Théorie Financière,” 3ème édition, Economica.

Sharpe W., (2000), “Portfolio Theory and Capital Markets “, Mac Graw Hill, Business & Economics - 316 pages.

Roncalli T., (2013), "Introduction to Risk Parity and Budgeting", Chapman & Hall/CRC, 410 pages.

Jurczenko E. and B. Maillet (Eds), (2006), "Multi-moment Asset Allocation and Pricing Models", John Wiley & Sons, New-York, 233 pages.

Caporin M., F. Lisi and B. Maillet, (2016), "Performance Measures in Financial Markets", Work in progress, Brief Series, 100 pages. Sample on: http://www.bertrand-maillet.net/cv.html

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5/ About the Reader

Pr. Bertrand Maillet is a Tenured Professor in Quantitative Finance at emlyon business school (Paris and Shanghai Campuses), the Head of the MSc. in Quantitative Finance at emlyon business school (Paris Campus), a Tenured Professor in Financial Economics at the University of La Réunion, an Adjunct Professor in Finance at the University of Paris-Dauphine, and the Principal at Variances (a consulting company providing academic supports to financial institutions). He also frequently serves as an Invited Professor in various institutions worldwide (Higher School of Economics - Moscow, Ca’ Foscari University - Venezia, University of Padua in Padova, University of Firenze, City University of New-York - NYC, East China Normal University in Shanghai, South-Western University of Finance and Economics - Chengdu…). He is currently a Senior Academic Fellow at the Louis Bachelier Institute. He has also been, for more than 15 years, an Executive Head of Quantitative Research (MD/CEO) within a large European Asset Management company (Center of Excellence in Funds Selection; Qualified Advisor: CIF – n°ORIAS: 13000399 - www.orias.fr). He graduated in Economics, in Finance, in Statistics, and holds a Ph.D. in Economics and a Ph.D. in Finance (Habilitation à Diriger des Recherches) from the University of Paris-1 Panthéon-Sorbonne, and has been promoted as a Full University Professor (Professeur Agrégé des Universités). Bertrand has published several articles in academic journals in Economics, in Finance and in Applied Mathematics, such as the Journal of Banking and Finance, Journal of Economic Dynamics and Control, European Journal of Operational Research, Quantitative Finance, Review of International Economics, European Journal of Finance, Neural Networks, Neurocomputing, chapters in books edited by Wiley, Springer and Kluwer Academics, and serves as an academic referee for several international leading journals. He was also a co-editor of the book entitled “Multi-moment Asset Allocation and Pricing Models” published by John Wiley NYC. His domain of expertise covers financial econometrics, risk management, performance measurement, portfolio management and asset pricing. With a thorough knowledge of the latest research in finance and a sound practitioner experience of financial markets over the last 20 years, he is specialized in the design of tools to support decisions and financial products with a high added value.E-mails: bmaillet@em-lyon.com, with cc to bertrand.maillet@gmail.comURL: www.bertrand-maillet.net

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