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Professor André FARBER
Solvay Business School
Université Libre de Bruxelles
International Investment (MBA)
Spring 2006
Course outline
Session 1 – Portfolio
theory (I):
Portfolio
Theory (Slides)
Normal
distribution (Excel)
Efficient
frontier – 2 risky assets (Excel)
Session 2 – Portfolio
theory (II)
EMH,
Portfolio performance, CAPM, APT (Slides)
Partners
(Excel solution worked out in class)
Partners
(Solution using matrix algebra – not covered in class)
Beta
calculation (Excel)
Session 3 – CAPM –
Performance evaluation
Performance
evaluation (Slides)
Case
solution (Excel)
Session 4 – Bonds Asset Liability Management
Bond
valuation – Duration (Excel)
ALM
(Excel)
IR Swap valuation (Excel)
Sessions 5, 6 & 7
– Options valuations
Option
valuation models (Excel)
Reverse
convertible valuation (Excel)
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