FIN41360 Portfolio & Risk Mgt

Learning Outcomes:

At the end of this course students should
1) Have a competent understanding of the portfolio allocation and financial risk management literatures, as well as of recent and relatively advanced developments in asset pricing and portfolio theory which help tackle the financial risk management and portfolio allocation problems in a more satisfactory manner;
2) Be able to implement the key methods in modern asset allocation and risk management;
3) Have an in-depth knowledge in an area of their choice.

Indicative Module Content:

• Portfolio Optimization/Choice
• Portfolio/Fund Management Performance Evaluation and Attribution
• Market Risk Modelling
• Credit Risk Modelling
• Risk, Regulation, and Capital Management

Student Effort Type	Hours
Lectures	24
Tutorial	9
Autonomous Student Learning	188
Total	221

Not applicable to this module.

Not applicable to this module.
 

Assessment Strategy  

Description	Timing		Component Scale		% of Final Grade
Group Project: The group project involves an empirical investigation on risk modelling (Market and credit risks) part of the module. It will involve a written submission.	Throughout the Trimester	n/a	Graded	No	20
Project: In-class tests: one on portfolio choice and performance attribution and the other on risk modelling. It will assess the level of individual preparation attained through the group project work.	Throughout the Trimester	n/a	Graded	No	40
Group Project: The group project involves an empirical investigation on portfolio choice, fund managment, and performance attribution part of the module. It will involve a written submission.	Throughout the Trimester	n/a	Graded	No	20
Presentation: Presentations on the two group projects.	Throughout the Trimester	n/a	Graded	No	20

 

Resit In	Terminal Exam
Summer	No

• Feedback individually to students, post-assessment
• Group/class feedback, post-assessment

Students will receive feedback, both oral and written and in-class and out of class, on assesment components 2-3 weeks (approximately) after assessment and throughout the semester.

As the course includes topics on both asset allocation/portfolio management and risk management/modelling, there is no single textbook that covers them all. There will therefore be some main textbook-like references which will be complemented by assigned readings and academic articles.

1. For Asset Allocation/Portfolio Management topics
• Zvi Bodie, Alex Kane, and Alan Marcus (2021), Investments, 12th Edition. McGraw-Hill education series in finance, insurance, and real estate.
• David Luenberger (2013), Investment Science, 2nd Edition, Oxford University Press
• Jean-Pierre Danthine and John Donaldson (2014), Intermediate Financial Theory, 3rd Edition, Academic Press

2. For Risk Modelling/Management topics
• John Hull (2023), Risk Management and Financial Institutions, 6th Edition, Wiley
• Jon Danielsson (2011), Financial Risk Forecasting, Wiley

Name	Role
Dr Emmanuel Eyiah-Donkor	Lecturer / Co-Lecturer
Lanxin Lu	Tutor
Yingjie Niu	Tutor

Spring
Presentation	Offering 1	Week(s) - 26	Fri 09:00 - 17:50
Lecture	Offering 1	Week(s) - 20, 21, 22, 23, 24, 25, 30, 31, 32, 33	Fri 11:30 - 13:20
External & School Exams	Offering 1	Week(s) - 29	Mon 16:30 - 18:20
Lecture	Offering 1	Week(s) - 29, 33	Thurs 16:00 - 17:50
Lecture	Offering 2	Week(s) - 20, 21, 22, 23, 24, 25, 30, 31, 32, 33	Fri 09:00 - 10:50
Presentation	Offering 2	Week(s) - 26	Fri 09:00 - 17:50
External & School Exams	Offering 2	Week(s) - 29	Mon 16:30 - 18:20
Lecture	Offering 2	Week(s) - 29, 33	Thurs 16:00 - 17:50
Tutorial	Offering 1	Week(s) - 21, 22, 23, 24, 25, 30, 31, 32, 33	Fri 12:00 - 12:50
Tutorial	Offering 2	Week(s) - 21, 22, 23, 24, 25, 30, 31, 32, 33	Fri 13:00 - 13:50
Tutorial	Offering 3	Week(s) - 21, 22, 23, 24, 25, 30, 31, 32, 33	Fri 15:30 - 16:20
Tutorial	Offering 4	Week(s) - 21, 22, 23, 24, 25, 30, 31, 32, 33	Fri 14:30 - 15:20
Spring