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 Investment Management M2192 QR Code
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Investment Management



One of the most important financial activities for both businesses and people is investment management. Before making a choice, investor managers must comprehend quantitative tools and qualitative analysis of the scenario. This course offers a thorough introduction to investment management with an emphasis on how to apply financial theory to problems that affect portfolio managers and investors in general.

Course Objectives

At the end of this course, participants will be able to:

  • learn about various assets that can be considered to form an investment portfolio, their valuation, and measurement of performance
  •  analyze the intrinsic value of traded assets using fundamental valuation theories as well as technical analysis
  • set investment goals and accordingly construct efficient portfolios
  •  evaluate the performance of the portfolio.

Targeted Audience

Senior Undergraduate and Postgraduate students: Management, Economics, Finance, Commerce, Business Administration

Course Outline

Unit 1:

  • Introduction to financial markets
  • institutions, and assets
  • Investment as a process
  • Investment philosophies

Unit 2:

  • money and bond markets
  • equity markets
  • derivative markets
  • managed funds
  • margin trading
  • regulation of markets.

Unit 3:

  • expected portfolio return and variance
  • definition of risk premium
  • asset allocation – two assets: mean-variance preferences
  • optimal asset allocation with a risk free asset
  • CARA utility and normal returns
  • portfolio frontier
  • expected return relationships
  • estimation issues
  • diversification – the single index model
  • Treynor-Black model
  • factor models
  • statistics of asset allocation.

Unit 4:

  • bond math
  • term structure
  • duration
  • numerical examples
  • immunisation of bond portfolios
  • convexity and immunization
  • immunization of equity portfolios.

Unit 5:

  • types of markets
  • bid-ask bounce – the Roll model
  • Glosten-Milgrom model
  • Kyle model
  • discrete version of the Kyle model
  • limit order markets
  • statistical arbitrage (algorithmic trading, program trading)
  • why market microstructure matters.

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