FM406E      Half Unit
Topics in Portfolio Management

This information is for the 2018/19 session.

Teacher responsible

Dr Michela Verardo


This course is available on the MSc in Finance (part-time). This course is not available as an outside option.


Students must have completed Corporate Finance (FM422E) and Asset Markets (FM423E).

Course content

  • Portfolio optimization and the Black-Litterman model
  • Dynamic Investment Strategies
  • Selecting and Monitoring Portfolio Managers: Mutual funds and hedge funds
  • Transactions Costs and Liquidity Risk

The course covers a wide range of topics in portfolio management, with a strong focus on empirical applications. The first part of the course reviews the basics of portfolio theory and develops the Black-Litterman approach to portfolio optimization. The second part of the course introduces students to the implementation of several dynamic investment strategies and to the estimation of their performance; portfolio strategies include size, value, momentum, betting-against-beta, and quality-minus-junk. The third part of the course focuses on selecting and monitoring portfolio managers, with particular emphasis on the identification of selectivity, allocation, and timing skills for mutual funds and hedge funds. The last part of the course examines trading costs and liquidity risk, as well as their impact on the profitability of investment strategies. The course is based on recent empirical studies and applied exercises using financial data.


30 hours of lectures in the MT.

Formative coursework

Regular coursework will be completed, handed in and marked as part of formative assessment for this course.

Indicative reading

A study pack will include lecture notes and case studies. All relevant articles will be made available during the course. Useful references are: Investments, by Z. Bodie, A. Kane, and A. Marcus, McGraw-Hill Irwin; Modern portfolio theory and investment analysis, by E. J. Elton, M. J.Gruber, S. J. Brown, and W. N. Goetzmann, Wiley Press; Modern investment management, by Bob Litterman and the Quantitative Resource Group, GSAM, Wiley Press.


Exam (70%, duration: 2 hours, reading time: 10 minutes) in the summer exam period.
Coursework (30%) in the LT.

Key facts

Department: Finance

Total students 2017/18: 49

Average class size 2017/18: 55

Controlled access 2017/18: Yes

Value: Half Unit

Guidelines for interpreting course guide information

Personal development skills

  • Application of information skills
  • Application of numeracy skills
  • Commercial awareness