Portfolio and Risk Management

About this course: In this course, you will gain an understanding of the theory underlying optimal portfolio construction, the different ways portfolios are actually built in practice and how to measure and manage the risk of such portfolios. You will start by studying how imperfect correlation between assets leads to diversified and optimal portfolios as well as the consequences in terms of asset pricing. Then, you will learn how to shape an investor's profile and build an adequate portfolio by combining strategic and tactical asset allocations. Finally, you will have a more in-depth look at risk: its different facets and the appropriate tools and techniques to measure it, manage it and hedge it. Key speakers from UBS, our corporate partner, will regularly add a practical perspective on these different topics as you progress through the course.

Created by:  University of Geneva

• Taught by:  University of Geneva- Tony Berrada, SFI Associate Professor of Finance

  Geneva Finance Research Institute

• Taught by:  University of Geneva- Ines Chaieb, SFI Associate Professor of Finance

  Geneva Finance Research Institute

• Taught by:  University of Geneva- Jonas Demaurex, Teaching Assistant

  Geneva Finance Research Institute

• Taught by:  University of Geneva- Rajna Gibson Brandon, SFI Senior Chaired Professor of Finance and Managing Director of the GFRI

  Geneva Finance Research Institute

• Taught by:  University of Geneva- Michel Girardin, Lecturer in Macro-Finance - Project Leader for the "Investment Management" specialization

  Geneva Finance Research Institute

• Taught by:  University of Geneva- Philipp Krueger, SFI Assistant Professor of Finance

  Geneva Finance Research Institute

• Taught by:  University of Geneva- Kerstin Preuschoff, Associate Professor of Neurofinance and Neuroeconomics

  Geneva Finance Research Institute

• Taught by:  University of Geneva- Olivier Scaillet, SFI Senior Chaired Professor of Finance and Vice-dean (research) at GSEM

  Geneva Finance Research Institute

Basic Info Course 3 of 5 in the Investment Management Specialization Commitment 4 weeks of study, 1-3 hours/week Language English How To Pass Pass all graded assignments to complete the course. User Ratings 4.7 stars Average User Rating 4.7See what learners said Coursework

Each course is like an interactive textbook, featuring pre-recorded videos, quizzes and projects.

Help from your peers

Connect with thousands of other learners and debate ideas, discuss course material, and get help mastering concepts.

Certificates

Earn official recognition for your work, and share your success with friends, colleagues, and employers.

University of Geneva Founded in 1559, the University of Geneva (UNIGE) is one of Europe's leading universities. Devoted to research, education and dialogue, the UNIGE shares the international calling of its host city, Geneva, a centre of international and multicultural activities with a venerable cosmopolitan tradition.

Syllabus


WEEK 1


General Introduction and Key Concepts



In this introductory week, you will first be presented with a few mistakes you will no longer make after following this course. In order to avoid making these mistakes, you will start by gaining a foundation and understanding of the three main types of information we need in order to build optimal portfolios: expected returns, risk and dependence.


6 videos, 2 readings expand

1. Video: Why you should choose this course
2. Reading: Course syllabus
3. Video: Some common mistakes you will no longer make after this course – Portfolio risk
4. Video: Some common mistakes you will no longer make after this course – Free lunch
5. Reading: Glossary
6. Video: Distribution of returns - Graphical representation
7. Video: Distribution of returns - Numbers
8. Discussion Prompt: How would you build your portfolio?
9. Video: The risk-return trade-off - UBS guest speaker

Graded: Graded quiz on the content of Week 1

WEEK 2


Modern Portfolio Theory and Beyond



The focus of this second week is on Modern Portfolio Theory. By understanding how imperfect correlations between asset returns can lead to superior risk-adjusted portfolio returns, we will soon be looking for ways to maximize the effect of diversification, which is at the heart of Modern Portfolio Theory. But we won’t stop there: we will also explore the implications of Modern Portfolio Theory on real-world investment decisions and whether or not these implications are followed by investors. Finally, we will see how Modern Portfolio Theory can be built upon to derive the most popular asset pricing model: the Capital Asset Pricing Model.


14 videos expand

1. Video: The impact of correlation - The benefits of diversification
2. Video: The impact of correlation - Maximizing diversification
3. Video: Reaching the efficient frontier - UBS guest speaker
4. Video: The efficient frontier with a risk-free asset
5. Video: Expanding the asset universe - International diversification
6. Video: Expanding the asset universe - Country versus industry diversification
7. Video: Do investors diversify internationally? - UBS guest speaker
8. Discussion Prompt: How much would you be willing to invest abroad?
9. Video: The impact of constraints on optimal portfolios
10. Video: The pitfalls of Modern Portfolio Theory - Assumptions
11. Video: The pitfalls of Modern Portfolio Theory - Investors
12. Video: Two-fund separation - Individual decision
13. Video: Two-fund separation - Market level
14. Video: Capital market equilibrium - The Capital Market Line
15. Video: Capital market equilibrium - The Capital Asset Pricing Model

Graded: Graded quiz on the content of Week 2

WEEK 3


Asset Allocation



This third week is dedicated to asset allocation. After a short introduction to investor profiling, we will delve into Strategic Asset Allocation (SAA). You will see how it relates to Modern Portfolio Theory and how it differs from Tactical Asset Allocation (TAA). We will look at how both asset allocations can be implemented separately but also in conjunction in order to build portfolios that fulfill investors’ needs and constraints while taking advantage of market opportunities.


14 videos, 1 reading expand

1. Video: How our age and wealth affect our investment profile - Main views
2. Video: How our age and wealth affect our investment profile - Robo-advisors
3. Discussion Prompt: Would you follow the advice of a Robo-advisor?
4. Video: The path from an investor's profile to his/her optimal investment strategy - UBS guest speaker
5. Video: Strategic asset allocation: MPT in practice - Definitions
6. Video: Strategic asset allocation: MPT in practice - Implementation
7. Reading: The importance of asset allocation
8. Video: Asset allocation versus stock picking: what matters more? - UBS guest speaker
9. Video: Rebalancing a portfolio to maintain the SAA - SAA versus TAA
10. Video: Rebalancing a portfolio to maintain the SAA - Weights and bounds
11. Video: Key drivers of tactical asset allocation - Goals
12. Video: Key drivers of tactical asset allocation - Implementation
13. Video: Timing the market with tactical asset allocation - Shiller's CAPE
14. Video: Timing the market with tactical asset allocation - Macroeconomic tools
15. Video: How tactical asset allocation depends on macroeconomic fundamentals - UBS guest speaker
16. Video: How to combine strategic and tactical asset allocations - UBS guest speaker

Graded: Graded quiz on the content of Week 3

WEEK 4


Risk Management



This fourth and final week is dedicated to risk. We will start by looking in more depth at different sources of risk such as illiquidity and currency risk but also at the different tools available to investors to perform risk management. But how should we measure risk? We will see that it may be valuable to go a step beyond standard deviation, the risk measure we used so far, and look at the Value-at-Risk and Expected Shortfall which focus on potential large losses. Finally, we will use the financial instruments at our disposal to hedge market and currency risk.


14 videos expand

1. Video: Defining forwards and options - Forwards
2. Video: Defining forwards and options - Options
3. Video: Risk as volatility?
4. Video: What about illiquidity? - UBS guest speaker
5. Discussion Prompt: Would you pay for liquidity?
6. Video: Currency risk - Return
7. Video: Currency risk - Risk
8. Video: Defining the Value-at-Risk
9. Video: Computing the Value-at-Risk
10. Video: Defining the Expected Shortfall
11. Video: Computing the Expected Shortfall
12. Video: Risk management applied to portfolio allocation
13. Video: Banking regulation & Basel recommendations: How did we get there?
14. Video: Hedging against market falls (using options)
15. Video: Hedging against currency risk (using forwards)

Graded: Graded quiz on the content of Week 4