Course description

Title of the Teaching Unit

Gestion de portefeuille et durabilité

Code of the Teaching Unit

21FFM12

Academic year

2024 - 2025

Cycle

Number of credits

Number of hours

Quarter

Weighting

Site

Anjou

Teaching language

French

Teacher in charge

DESAGRE Christophe

Objectives and contribution to the program

The first objective of the course is to help students understand portfolio management, while reflecting on the role of the portfolio manager in an ecosystem challenged by climate issues.

The second objective of the course is to provide students with specific skills in terms of financial and extra-financial data analysis.

The third objective of the course is to prepare the student for the completion of a personal project.

This course aims to:

Provide the student with specialized knowledge in portfolio management to help him or her become a management professional

Understand the challenges of portfolio management in terms of sustainability and lead the student to act responsibly in this environment

To make the student aware of the importance of being able to perform quantitative analyses using real data and appropriate tools.

Prerequisites and corequisites

- Introduction to Finance or Financial Mathematics and Financial Management
- Mathematics and Statistics or Mathematics for Management
- Business Informatics

Content

Part 1. Portfolio Management Concepts

Introduction to portfolio management
Modern portfolio theory
Challenging neo-classical models
Portfolio performance measures
Exercise Session 1

Part 2. Portfolio management strategies

SRI strategies
Multi-factor models
Asset Allocation
Performance attribution
Exercise Session 2

Part 3. Advanced topics in portfolio management

Portfolio management and ETFs
Portfolio management and artificial intelligence

Teaching methods

The course follows a pedagogy that mixes theoretical lectures, practical examples and exercise sessions. The practical examples will be done on Excel while the exercise sessions will be done using Python. The course may also include participation in conferences and reading academic articles.

Assessment method

1. A written exam that will cover the entire course
- The course slides
- The exercises
- Academic readings
- The exam will be a closed book written exam.
- The exam grade counts for 60% of the course grade.

2. A written assignment and an oral defense that will focus on the applications of the theory and practice sessions.
- The content of the assignment is the subject of a separate document (cfr Moodle).
- The grade for the assignment counts for 40% of the course grade.

The evaluation of the exam in the second session will be equivalent.

References

Course materials:
- Slides
- Excel files
- Python files (scripts and notebooks available via a website)
- Academic articles

Bibliographic references :
Alphonse, P., Desmuliers, G., Grandin, P., & Levasseur, M. (2013). Gestion de portefeuille et marchés financiers. Pearson Education.

Brooks, C. (2019). Introductory econometrics for finance. Cambridge University Press, 4th edition

CFA Institute (2021). Portfolio management in practice. Volume 1 - Investment management. Wiley

CFA Institute (2021). Portfolio management in practice. Volume 2 - Asset allocation. Wiley

CFA Institute (2021). Portfolio management in practice. Volume 3 - Equity portfolio management. Wiley

Hilpisch, Y. (2018). Python for finance – Mastering data-driven finance. O’reilly, 2nd edition

Hilpisch, Y. (2020). Artificial intelligence in finance – A Python based guide. O’reilly, 1st edition

Petzel T. E. (2021). Modern portfolio management: moving beyond modern portfolio theory. Wiley