# MASSIMO GUIDOLIN

## 10567 - PORTFOLIO MANAGEMENT

1. Introduction to the course and syllabus presentation (updated syllabus here)

Introduction to the fundamentals of portfolio management
The Opportunity Set and the Efficient Frontier (No Riskless Borrowing and Lending)
The Opportunity Set and the Efficient Frontier (with Riskless Borrowing and Lending)
Efficient Frontier under Short-Selling Constraints.

Lecture Slide Set 1, “Fundamentals of Mean-Variance Analysis”
Guidolin, M., and M., Pedio, 2016, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, chapters 1 and 3.

2. Utility-Based Portfolio Choice

Introduction to the State-Preference Approach
Representing Preferences and Risk Aversion Attitudes with Utility Functions

Lecture Slide Set 2, “Utility-Based Portfolio Choice”
Guidolin, M., and M., Pedio, 2016, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, chapters 2.

3. Tutorial on mean-variance portfolio selection methods in Excel and VBA

Handout and Excel samples and VBA codes made available by the instructors

Lecture Slide Set 3 (part 1part 2), “Mean-variance portfolio choice in Excel” (Data here)

Excel solved sample made available by the instructors (Manuela Pedio)

Additional material: Basics of Matrix Algebra (slides)

Homework handed out (due on March 28 at midnight, word file here). Solutions are here.

Rule about late homeworks: for each 24 hours of delay, 20% of the total homework grade will be deducted.
So after a 1-minute delay, your maximum grade is 16% of total course grade, after 24 hours and 1 minute, 12%, etc.

4. Hints to Performance Measurement and Attribution

Decomposing Performance
Active vs. Passive Portfolio Management

Lecture Slide Set 4, “Performance Measurement and Attribution”
Guidolin, M., and M., Pedio, 2016, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, chapter 7.
Levy, M., and R., Roll (2016). Seeking Alpha? It’s a Bad Guideline for Portfolio OptimizationJournal of Portfolio Management, 42, 107-112.
Goyal, A., Ilmanen, A., and D., Kabille (2015). Bad habits and good practicesJournal of Portfolio Management, 41, 97-107.

Excel samples made available by the instructors here (empty verrsion)

5. “Smart Beta” Factor Investing: Mapping Factor Exposures into Asset Allocations

Lecture Slide Set 5, “Smart Beta and Factor Investing”
Kahn, R. N., and M., Lemmon (2015). Smart Beta: the owner's manualJournal of Portfolio Management, 41, 76-83.
Kahn, R. N., and M., Lemmon (2016). The asset manager’s dilemma: How smart beta is disrupting the investment management industryFinancial Analysts Journal, 72, 15-20.
Dimson, E., Marsh, P., and M., Staunton (2017). Factor-based investing: the long-term evidenceJournal of Portfolio Management, 43, 15-37.

6. Using Sentiment Indicators in Asset Management: the Window to Big Data, Deep Learning, and Artificial Intelligence

Lecture Slide Set 6, “The Role of Sentiment in Modern Portfolio Choice”
Heston, S. L., and N., R., Sinha (2017). News vs. sentiment: Predicting stock returns from news storiesFinancial Analysts Journal, 73, 67-83.

7. The Role of ESG Criteria and Constraints in the Asset Management Industry

Lecture Slide Set 7, “ESG in Asset Management”
Statman, M., and D., Glushkov (2009). The wages of social responsibilityFinancial Analysts Journal, 65, 33-46.
Amel-Zadeh, A., and G., Serafeim (2018). Why and how investors use ESG information: Evidence from a global surveyFinancial Analysts Journal, 74, 1-17.

8. Hedge as an Alternative Asset Class; the nature of hedge fund strategies

Lecture Slide Set 8, “What Do We Know About Hedge Funds”

PREPARING THE EXAM...

A few sample questions in view of the exam (solutions here)
2018 exam (solutions here).

Last update 01/04/2019