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Portfolio choice

Portfolio Choice

On campus
International Finance
Layer overview of Financial system and Financial markets

Overview

1 – 4 October 2019

Interested in creating your own investment portfolio or provide investment advices? This course will provide students with the mathematical analysis tools used in market finance to understand how to balance those different kind of assets when building a portfolio according to securities characteristics.

Course delivery

Prof. Antoine Billot

Professor of Economics – Université Paris II Panthéon Assas

Profile

Antoine Billot is professor of Economics at Université Paris II Panthéon Assas. He is one of the leading researcher in France in the field of Economic Theory and Mathematical Economics. His research has been published in the very top journals in Economics such as Econometrica, Journal of Mathematical Economics, International Journal of Economic Theory, Mathematical Social Science, Journal of Economic Behaviour and Organization and Public Choice. He is also head of one of the Economic Department of the University Panthéon-Assas (LEMMA) and is also the vice president of Université Paris II Panthéon Assas. He is also an Editor of the French scientific journal “Revue Economique”

Syllabus

The term “portfolio” refers to any combination of financial assets such as stocks, bonds and cash which have various degrees of maturity, returns and risk. The students will be able to understand how to balance those different kind of assets when building a portfolio according to securities characteristics and various factors such as to the investor's risk tolerance, time frame and investment objectives. Students will learn how to measure the risk and expected return of portfolios. The class will start with a presentation of mathematical tools used in market finance and portfolio analysis. Then, the standard model for the pricing of risky securities is the capital asset pricing model (CAPM) which will be presented in a simplified version.

Objectives and Skills Targeted

The first objective of the course is to provide students with the mathematical analysis tools used in market finance. Then the students will be able to apply those tools using the standard capital asset pricing model.

Method / Bibliography

  • “Corporate financial management”, Glen Arnold. Chap 10, 11, 12, 13, 14
  • “Corporate Finance, core”, Berk. Chap 10, 11, 12
  • “Fundamental of investing”, Smart, Chap 5

Course fee

1000 Euros