Course ObjectiveAfter successfully completing this course students:
- are able to use quantitative skills to answer specific questions
related to fixed income, equity investing and asset allocation (Academic
- understand and be able to apply standard fixed income concepts such as
duration, DV01 and convexity (Bridging Theory and Practice);
- understand the characteristics of interest rate swaps and be able to
apply the usage of interest rate swaps in the context of balance sheet
interest rate risk management (Bridging Theory and Practice);
- understand and be able to apply optimal asset allocations for
institutional investors (Bridging Theory and Practice);
- understand the theory of factor investing for equities (Bridging
Theory and Practice);
- understand alternative asset classes such as private equity and hedge
funds and are able to assess the practical advantages and disadvantages
of these asset classes (Bridging Theory and Practice);
- are able to effectively communicate your findings to the relevant
stakeholders, in written and presentational form (Professional and
Course ContentWe offer four main themes in this course.
First, we will go through the academic foundations of portfolio decision
making and asset pricing.
Second, students will review the characteristics of fixed income
instruments (bonds and swaps) and how these instruments can be used to
steer interest rate risk on the balance sheet of institutional
Third, students will gain insight into the construction of equity
portfolios with a particular focus on factor investing. We will also pay
attention to the ever increasing importance of sustainability.
Finally, we will touch upon investment in alternative asset classes like
real estate, private equity, hedge funds and commodities.
After following this course students should be able to apply the
reviewed theoretical concepts in real life cases.
Teaching MethodsLectures (2 times 2 hours per week) and tutorials (2 hours per week)
Method of Assessment- Written exam
- Case 1: group assessment
- Case 2: group assessment
Literature- Andrew Ang: A Systematic Approach to Factor Investing, 2014, Oxford
University Press, 1st Edition
- Additional course material (e.g. academic papers) will be provided on
|Language of Tuition||English|
|Faculty||School of Business and Economics|
|Course Coordinator||dr. M. Boes|
|Examiner||dr. M. Boes|
You need to register for this course yourself
Last-minute registration is available for this course.
|Teaching Methods||Lecture, Study Group|
This course is also available as: