Investment management

Организатор: Финансовый университет при Правительстве РФ
Даты проведения:

С открытой датой

Описание мероприятия

Язык обучения: английский

Для кого эта программа

This course is designed to introduce students to the investment environment in the role of a private or professional investor.

Описание программы

Aims and objectives:

  • provide an overview of institutional details linked to financial markets and the trading process
  • provide an overview of historical trends and innovations in financial instruments and trading processes
  • provide an overview of various financial instruments
  • provide insight into the use of finance theory in investment management
  • provide a guide to the measurement and analysis of risk of financial investments
  • provide a guide to the measurement of performance of fund management
  • address key issues in risk management


This course is assessed by a three-hour unseen written examination.

Учебный план:

Financial markets and instruments: money and bond markets; equity markets; derivative markets; managed funds; margin trading; regulation of markets.

History of financial markets: historical and recent financial innovation; historical equity and bond market returns; equity premium puzzle.

Fund management and investment: historical mutual fund performance; market efficiency and behavioural finance; return based trading strategies; hedge funds.

Market microstructure: types of markets; bid-ask bounce – the Roll model; GlostenMilgrom model; Kyle model; discrete version of the Kyle model; limit order markets; statistical arbitrage (algorithmic trading, program trading); why market microstructure matters.

Diversification: expected portfolio return and variance; definition of risk premium; asset allocation – two assets: meanvariance preferences; optimal asset allocation with a risk free asset; CARA utility and normal returns; portfolio frontier; expected return relationships; estimation issues; diversification – the single index model; Treynor-Black model; factor models; statistics of asset allocation.

Portfolio immunisation: bond math; term structure; duration; numerical examples; immunisation of bond portfolios; convexity and immunisation; immunisation of equity portfolios.

Risk and performance management: types of risk; risk decomposition; hedge ratios; Value-at-Risk; Sharpe ratio; Treynor’s ratio; more portfolio performance measures; Sharpe vs Treynor; portfolios with changing risk; market timing; non-linear payoffs; extreme risk.

Risk management: risk management for investors; risk management for corporations; risk management for banks; delta hedging; put option protection; put protection vs VaR; portfolio insurance with calls; hedging credit risk; hedging volatility; risk capital allocation.

Результат обучения:

At the end of this course and having completed the essential reading and activities students should be able to:

  • list given types of financial instruments and explain how they work in detail
  • contrast key characteristics of given financial instruments
  • briefly recall important historical trends in the innovation of markets, trading and financial instruments
  • name key facts related to the historical return and risk of bond and equity markets
  • relate key facts of the managed fund industry
  • define market microstructure and evaluate its importance to investors
  • explain the fundamental drivers of diversification as an investment strategy for investors
  • aptly define immunisation strategies and highlight their main applications in detail
  • discuss measures of portfolio risk-adjusted performance in detail and critically analyse the key challenges in employing them
  • competently identify established risk management techniques used by individual investors and corporations

Требования к поступающим:


If taken as part of a BSc degree courses which must be passed before this course can be attempted: FN1024 Principles of banking and finance.


Students can only take FN3023 Investment management at the same time as or after FN3092 Corporate finance, not before. 

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