Not currently offered

Credit points: 15

Subject outline

This subject seeks to provide a structured approach to active portfolio management strategy. This approach includes researching ideas, forecasting exceptional returns, constructing and implementing portfolios and observing and refining their performance. The approach draws on theories of asset pricing such as the Capital Asset Pricing Model and the Arbitrage Pricing Model, as well as a range of statistical tools for its structure and intuition. In so doing the unit critiques a selection of the key empirical analyses of these theories and seeks to relate these theories to the practice of active portfolio management. The subject concludes with a case study of an active portfolio manager and an actual portfolio construction problem.

FacultyFaculty of Business, Economics and Law

Credit points15

Subject Co-ordinatorMichael Li

Available to Study Abroad StudentsYes

Subject year levelYear Level 4 - UG/Hons/1st Yr PG

Exchange StudentsYes

Subject particulars

Subject rules

Prerequisites Admission into LHB or LPEC or LHIB or LHE or LHF or enrolled in an honours course


Incompatible subjectsN/A

Equivalent subjectsN/A

Special conditionsN/A

Learning resources


Resource TypeTitleResource RequirementAuthor and YearPublisher
ReadingsModern Portfolio Theory and Investment AnalysisPrescribedEdwin J. Elton, Martin J. Gruber, Stephen J. Brown, William N. GoetzmannJOHN WILEY & SONS, 16/11/2009

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