London School of Economics and Political Science (LSE)

Modules

Investment management [23]

Note: this is a replacement unit for 121 International financial markets. Please note that the subject guide for this unit may not be available until 1 September 2005.

Prerequisite (if taken as part of a BSc degree):
24 Principles of banking and finance or 94 Principles of banking

Corequisite (if taken as part of a BSc degree): 92 Corporate Finance

Financial markets and instruments: money and bond markets; equity markets; derivative markets; managed funds; exchange traded funds; exchange trading and OTC trading; clearing; settlement, margin trading, short sales and contingent orders; regulation of financial markets.
History of financial markets: history of financial innovation; case studies in innovation; historial investment returns; equity premium puzzle.
Active fund management and investment strategies: historial mutual fund performance; market efficiency and behavioural finance; return based trading strategies; hedge funds.
Market microstructure: bid-ask spread; inventory risk; adverse selection; optimal insider trading; stealth trading hypothesis; why microstructure matters to investment analysis.
Diversification: expected portfolio return and variance; risk premium; risky/risk free capital allocation; minimum-variance portfolio frontier; market portfolio; expected return relationships; Treynor-Black model; factor models.
Portfolio immunisation: term structure of interest rates; duration; immunisation of equity portfolios.
Risk and performance management: types of risk; regresssion methods for measuring risk; value-at-risk; risk adjusted performance measures; m-squared measure; performance measurement with changing portfolios.
Risk management and VaR based portfolio insurance: put option protection; put-call parity; volatility hedging; Basak-Shapiro model.