Objectives
The main objective of the course is to provide insight into the background of the main factors influencing investment decisions. Beside the discussion of the classical trilemma of risk-yield-liquidity and the fundamentals of the efficient market hypothesis, the subject also covers the examination of the main indicators used to evaluate international financial markets (financial stress index, VIX index, TED spread etc.). Based on the risk-return characteristics of financial instruments, students participating in the course can also get acquainted with the pricing of bonds and shares, as well as the fundamental and technical analysis of shares. Within the frames of the course the government securities markets and stock exchanges are given special emphasis, among actors of these markets institutional investors and investment banks have outstanding importance. After an introduction to the most important types of derivative products (options, futures and swaps), the course allows an outlook to the future perspectives of financial markets marked by financial innovations (securitisation, credit derivatives, ETFs, REITs).
Academic results
Knowledge
- The audience will be familiar with
- portfolio management;
- alternative investment opportunities;
- personal finance.
Skills
- The audience will be able to
- understand the return-risk characteristics of different alternative investments;
- apply the course theory to measure the risks attached to different investment portfolios;
- calculate the alphas of hedge fund strategies;
- formulate investment strategies;
- manage and monitor investment portfolios.
Attitude
- The audience
- is open to getting to know and adapting portfolio theory;
- collaborates with their instructors and others during the learning process;
- gains knowledge and information;
- uses the possibilities offered by IT tools.
Independence and responsibility
- Students
- are open to accept critical remarks;
- co-operate with other students – as part of a team – in solving exercises;
- apply systematic thinking in relation to financial market instruments.
Teaching methodology
Lectures, written and oral communication, use of IT tools and techniques, optional tasks alone and in groups.
Materials supporting learning
- Kötelező - Obligatory:
- Az előadások prezentációs anyaga, mely a félév során folyamatosan fog feltöltésre kerülni. - Slideshows of the lectures which will be uploaded continuously during the semester.
- Mark J. P. Anson, Handbook of Alternative Assets, John Wiley & Sons (2006)
- Zvi Bodie-Alex Kane-Alan J. Marcus, Investments, 11th Edition, MacGrawHill, 2018
- Ajánlott- Recommended:
- CAIA, Alternative investments Level I, 3rd Edition
- Sokolowska, The principles of alternative investment management, Springer 2016
- Anson, Fabozzi, Jones, The Handbook of Traditional and Alternative Investment Vehicles, Wiley & Sons, Inc, 2011
General Rules
Assessment of the learning outcomes described under 2.2. is based on a mid-term exam. Each of the midterm exams affects the final grade by 50%: the total score is a weighted average of mid-term exam 1 (50%) and mid-term exam 2 (50%)
Performance assessment methods
The total score is 100 points
Percentage of performance assessments, conducted during the study period, within the rating
Percentage of exam elements within the rating
Issuing grades
| % | |
|---|---|
| Excellent | 90-100 |
| Very good | 80–90% (80-90 pont/points) |
| Good | 70–80% (70-80 pont/points) |
| Satisfactory | 60–70% (60-70 pont/points) |
| Pass | 50–60% (50-60 pont/points) |
| Fail | below 50% (50 pont/points) |
Retake and late completion
There will be one retake exam possibility
Coursework required for the completion of the subject
| Nature of work | Number of sessions per term |
|---|---|
| participation on contact lessons | 24 |
| preparing for the exam | 66 |
Approval and validity of subject requirements
Consulted with the Faculty Student Representative Committee, approved by the Vice Dean for Education, valid from: 03.03.2025.
Topics covered during the term
| Lecture topics | |
|---|---|
| 1. | Overview of Alternative Investments: Beta Drivers and Alpha Drivers |
| 2. | Mutual Funds and Other Investment Companies |
| 3. | Hedge Funds I: Introduction, Due Diligence, Risk Management and Regulation |
| 4. | Hedge Funds II: Benchmarks and Asset Allocation |
| 5. | Commodities and Managed Futures |
| 6. | Private Equity: the Economics of Private Equity, Venture Capital, Performance Measurement for Private Equity |
| 7. | Portfolio Theory and Practice: Risk, Return, Capital Allocation to Risky Assets |
| 8. | Optimal Risky Portfolios |
| 9. | The Capital Asset Pricing Model and The Efficient Markets Hypothesis: Implications on Portfolio Management |
| 10. | Applied Portfolio Management: Portfolio Performance Evaluation |
| 11. | ESG Integrated Portfolio Construction and Management |
| 12. | Investment Policy and the CFA Framework: Asset Allocation, Managing Portfolios of Individual Investors, Pension Funds |
Additional lecturers
| Name | Position | Contact details |
|---|---|---|