Risk and Portfolio Construction (ECFS871)

This unit deals with the key issues relating to the building of institutional portfolios. Students will learn how to identify, measure and control various risks within a portfolio. Building on this knowledge, the unit examines practical and theoretical aspects in the application of Modern Portfolio Theory (MPT) to the real world. Several extensions of MPT and alternative portfolio construction approaches are also examined. Emphasis is placed on the impact that errors in inputs and incorrect assumptions have on portfolio outcomes. Teaching uses a mixture of lectures and hands-on spreadsheets to illustrate the ideas.

Learning Outcomes:

  1. Identify and measure sources of institutional portfolio risks.
  2. Understand, apply and interpret strategies to control portfolio risks, including their appropriate applications and limitations.
  3. Distinguish the key attributes of alternative portfolio construction techniques, including their appropriate applications and limitations. Apply appropriate alternative portfolio construction and risk control techniques to ‘real world’ situations.
  4. Understand, apply and interpret a range of return forecasting methods.
  5. Construct and effectively manage an institutional portfolio.

Topics:

  1. Sources of Portfolio Risk
  2. Sources of Error and Their Implications
  3. Factor Models
  4. Alternative Portfolio Construction Approaches
  5. Forecasting Returns
  6. Case Studies

Prerequisite Units:

Lecturers:

Unit Guides:

  • Risk and Portfolio Construction - 2019. The link will provide a list of guides for this unit. If the desired term/location is not listed, please view the latest one available.

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