Visualisation plan de cours 2026 / 2027

EM3E5MIN

Investment II

Programme

PGE PGE5 Finance

Semestre

Coefficient

Volume horaire

Face à face : 24 H

Travail personnel indicatif : 48 H

Discipline

Finance

Nombre de places

Cours ouvert aux étudiants visitants

Oui

Langue d'enseignement

Anglais

Responsable

Maxime
MERLI

Liste des intervenants

	Intervenant(s)	Email	Volume horaire
	Maxime MERLI	merli@unistra.fr	24 h CM

Discipline

Finance

Descriptif

The course is structured in three parts. The first part is dedicated to fixed-income securities, with an emphasis on investment analysis including interest rate risk, duration, and convexity. We derive the term structure of interest rates from bond prices and yields, providing the essential framework for bond portfolio management. The second part addresses fundamental issues in asset allocation and optimal portfolio choice, introducing pricing and equilibrium models such as the CAPM and multifactor models (Fama-French, Carhart). This part emphasizes how systematic risk factors explain cross-sectional return variation. The last part is dedicated to portfolio performance evaluation, examining empirical measures of fund performance and recent findings on factor-driven returns using multifactor frameworks.

MAC

Construire des indicateurs de performance/Develop performance indicators

11 ECTS

Contribution pédagogique du cours au programme

Develop impactful management using the latest knowledge and tools in the fields of management
Determine a strategic and managerial vision in a complex, uncertain and changing environment
Evaluate sustainable managerial practices using managerial concepts and instruments as well as digital tools
Design solutions adapted to organizational problems by applying relevant methodologies
Develop advanced managerial skills for responsible leadership
Recommend critical decision making to drive change in organizations
Practice impactful management in a multicultural and international environment, driven by a "European mindset"
Communicate in a professional context in (foreign) languages, in writing and/or orally
Formulate solutions to organizational challenges in a multicultural and international context, driven by a "European mindset"

Organisation pédagogique

Face-to-face

- Lectures

In group

- Exercises

Objectifs pédagogiques - COGNITIVE DOMAIN

A l'issue du cours, l'étudiant(e) devrait être capable de / d'...

Describe the essential characteristics of Securities and funds
Solve standard problems of portfolio choice
Synthesize the main approaches to portfolio choice and valuation techniques.
estimate the performance of mutual funds
measure the risk and return of various asset classes
Interpret the quantitative information provided by investment analysis.

Objectifs pédagogiques — Objectifs de développement durable (ODD)

ODD portés par la politique RSO de l'EM.

Plan / Sommaire

PART A: Bond Portfolios, Risk and investment stategies

A.1: Bond Basics (prerequisites from introductory course)

Types of bonds and Yield to Maturity
Default risk and credit risk

A.2: Managing bond portfolio

Bond pricing and Interest rate risk,
Duration, Convexity and Bonds portfolio strategies

A.3: Term structure of interest rates and bond portfolio

Term structure and bond pricing
Term structure, forward rates and expectations

PART B: Diversified Portfolios, Risk and Performance

Chapter B.1: Portfolio Selection and Risk

Risk aversion and risk premium
Diversification benefits, Capital Market Line (CML) and the efficient frontier

Chapter B.2: The Capital Asset Pricing Model

Security Market Line (SML) and beta pricing
Main implications: systematic vs. idiosyncratic risk

Chapter B.3: Mutual Funds: Risk Measurement and Performance Evaluation

Baseline performance measures (Sharpe, Jensen alpha)
Limitations of CAPM and extension to multifactor models: FF3 and Carhart 4-factor analysis

Prérequis nécessaires

Connaissances en / Notions clés à maîtriser

Microeconomics, statistics, elementary probability theory, Bonds basics Statistics: moments of random variables (expectation, variance, covariances, corrélations)

Supports pédagogiques

Mandatory tools for the course

- Computer
- Calculator

Documents in all formats

- Worksheets
- Syllabus

Moodle platform

- Upload of class documents

Adossement à la recherche

Ce cours est adossé à la recherche.

Research-led (par les contenus)Le cours mobilise des connaissances issues de la recherche académique récente.

Bibliographie/références académiques

Academic articles E. F. Fama and K. R. FrenchThe CAPM : Theory and Evidence, Journal of Economic Perpectives, 18, 3, 2004 Ibikunle, Gbenga and Steffen, Tom, European Green Mutual Fund Performance: A Comparative Analysis with Their Conventional and Black Peers, Journal of Business Ethics, 2017 Miguel A. Ferreira, Aneel Keswani, António F. Miguel, Sofia B. Ramos, The Determinants of Mutual Fund Performance: A Cross-Country Study, Review of Finance, Volume 17, Issue 2, April 2013 Books Investments, Bodie, Kane, Markus, Global Edition, Mc Graw Hill Education, 2021 (12. ed.) Bond Markets, Analysis and Strategies, F. J. Fabozzi, F.A. Fabozzi, MIT Press, 10th ed. 2021 The Complete Guide to Portfolio Performance, François, Hübner, John Wiley & Sons Inc, 2024

Travaux de recherche de l'EM

C. Godlewski, M. Merli, J.C. Hull, Gestion des risques et institutions financières, 3ème édition, Pearson Education, 2013.

Modalités d'évaluation

Liste des modalités d'évaluation

✓ Evaluation finale 1

Semaine d'examens

Ecrite (90 min) / Individuelle / Anglais / Pondération : 100%

Compétence mesurée

ILO1.1-PGE, ILO1.3-PGE, ILO2.2-PGE, ILO4.1-PGE, ILO4.2-PGE

✓ Seconde chance

Semaine d'examens

Ecrite (90 min) / Individuelle / Anglais / Pondération : 100%

Compétence mesurée

ILO1.1-PGE, ILO1.3-PGE, ILO2.2-PGE, ILO4.1-PGE, ILO4.2-PGE