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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)