Checking date: 09/11/2023

Course: 2023/2024

Advanced portfolio management
Master in Finance / Máster Universitario en Finanzas (Plan: 483 - Estudio: 261)

Coordinating teacher: MARIN VIGUERAS, JOSE MARIA

Department assigned to the subject: Business Administration Department

Type: Electives
ECTS Credits: 3.0 ECTS


Requirements (Subjects that are assumed to be known)
Target Audience: This course is adequated for any student in the MSc in Finance. Course Language: This course is totally taught in English. The courses of Financial Markets (First Term) and Investment (Second Term) should have been completed previously. The empirical exercises will be done using Excel. Professors: - David Cienfuegos, CAIA (Senior Director & Head of Investments, Continental Europe Willis Towers Watson, MBA) - Fernando Dominguez (Head of Real Estate Asset Management Iberia, DWS)
This course is included in the "materia or area": INVESTMENT GENERAL COMPETENCES associated to INVESTMENT: Students will achieve the ability to answer new problems, using a large amount of information. They will learn how work in unstable situations, being part of a team or individually. They will also promote their ability of leadership. Class participation is highly encouraged. SPECIFIC COMPETENCES and LEARNING RESULTS: Students will get familiar with an array of asset classes and strategies in Alternative Investments from practitioners. The aim of the program is to critically think about investments, assessing the risk-return profile and pricing credit and real estate assets from a practical perspective. - Course Description The first part of the course focuses in introducing alternative investments. The second part focuses on investment process in Hedge Funds and their investment strategies.. The third part is devoted to Real Estate, and advanced portfolio strategies. The professor will use Excel in the empirical exercises.
Skills and learning outcomes
Description of contents: programme
PART I: INTRODUCTION TO ALTERNATIVE INVESTMENTS History of the alternative investments industry Role of the Asset Allocator of the future PART II: ALTERNATIVE INVESTMENTS Hedge Funds Private Markets Real Assets: The case for Real Estate PART III: ADVANCED PORTFOLIO MANAGEMENT Integrating alternative investments in portfolio management: Asset Allocation processes: -The Endowment Model -Pension Fund Portfolio Management -Sovereign Wealth Funds -The Family Office Model PART IV: ADVANCED TOPICS New trends in Hedge Funds and Private Markets Real Assets: Natural Resources & Commodities ESG Investments (Environmental, Social and Governance factors and the effect in Investment).
Learning activities and methodology
The first half of a given session will be lecture driven. The second half will be either a case discussion or a financial modelling workshop. They will work with CAIA Questions. Students will get familiar and produce financial models. They will work on selected empirical cases with real data. Students will work in teams on take hope assigments, learning to collaborate and organize the different roles in the team.
Assessment System
  • % end-of-term-examination 60
  • % of continuous assessment (assigments, laboratory, practicals...) 40

Basic Bibliography
  • CAIA Association, Hossein Kazemi, Keith H. Black, Donald R. Chambers. Alternative Investments: CAIA Level II. Wiley. 2016
  • Bodie, Kane and Marcus. Investment. McGraw Hill. 2009
  • Donald R. Chambers, Mark J. P. Anson, , Keith H. Black, Hossein Kazemi. Alternative Investments: CAIA Level I. Wiley. 2015
  • Lo, A,W. Hedge Funds: An Analytic Perspective. Princeton University Press, . 2009

The course syllabus may change due academic events or other reasons.