BE-506 Computational Finance and Portfolio Mangement
- ECTS Credits:
- 7.5
- Responsible department:
- School of Business and Law
- Course Leader:
- Valeriy Ivanovich Zakamulin
- Lecture Semester:
- Autumn
- Teaching language:
- English.
- Duration:
- 1 term
The course is connected to the following study programs
- Master's Programme in Business Administration
- Master's Programme in Business Administration (5 years)
Teaching language
English.Recommended prerequisites
BE-419 Finance Theory
Course contents
The course attempts to build the foundation for students who will later do actual empirical work. The objective of the course is to learn mathematical, programming, and statistical tools used in the real world analysis of financial data. It is a hands-on course where the students obtain practical skills in performing analysis of actual data and implementing the core theoretical models of modern finance. The main emphasis is given to the theory and practice of investment and portfolio management.
Learning outcomes
On successful completion of this course the student should be able to use the open source R statistical programming language to:
-
Retrieve, process, and plot financial data
-
Compute and analyze financial asset returns
-
Construct mean-variance efficient portfolios
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Construct mean-risk efficient portfolios
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Implement traditional and modern portfolio diversification and optimization methods
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Estimate the single index and multifactor models using linear regression
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Evaluate portfolio performance and be able to separate -skill- from -luck- in the performance
Examination requirements
Approved compulsory assignment. More information will be given in Canvas at the start of the semester.
Teaching methods
Lectures, group work and PC-lab. Estimated workload is about 200 hours.
Evaluation
The study programme manager, in consultation with the student representative, decides the method of evaluation and whether the courses will have a midterm- or end of term evaluation, see also the Quality System, section 4.1. Information about evaluation method for the course will be posted on Canvas.
Admission for external candidates
No
Assessment methods and criteria
Individual term paper with letter grades.
Reduction of Credits
This course’s contents overlap with the following courses. A reduction of credits will occur if one of these courses is taken in addition:
| Course | Reduction of Credits |
|---|---|
| BE-513 – Practical Portfolio Management | 5 |
| BE-421 – Investments | 2.5 |