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Course 2016-2017 a.y.

20248 - ASSET MANAGEMENT


CLMG - M - IM - MM - AFC - CLEFIN-FINANCE - CLELI - ACME - DES-ESS - EMIT - GIO
Department of Finance

Course taught in English


Go to class group/s: 31

CLMG (6 credits - I sem. - OP  |  SECS-P/11) - M (6 credits - I sem. - OP  |  SECS-P/11) - IM (6 credits - I sem. - OP  |  SECS-P/11) - MM (6 credits - I sem. - OP  |  SECS-P/11) - AFC (6 credits - I sem. - OP  |  SECS-P/11) - CLEFIN-FINANCE (6 credits - I sem. - OP  |  SECS-P/11) - CLELI (6 credits - I sem. - OP  |  SECS-P/11) - ACME (6 credits - I sem. - OP  |  SECS-P/11) - DES-ESS (6 credits - I sem. - OP  |  12 credits SECS-P/11) - EMIT (6 credits - I sem. - OP  |  SECS-P/11) - GIO (6 credits - I sem. - OP  |  SECS-P/11)
Course Director:
DAVIDE MASPERO

Classes: 31 (I sem.)
Instructors:
Class 31: DAVIDE MASPERO


Course Objectives
This course aims at analyzing recent theoretical and empirical developments in portfolio manage-ment, outlining topics which are relevant for students wishing to work in the asset management in-dustry. The first part of the course deals with portfolio construction and management, outlining ad-vanced asset allocation models, the role of alternative asset classes and portfolio insurance models. The second part of the course deals with performance evaluation and risk management issues.
The course includes four IT sessions on practical applications of the models taught in class and two sessions with industry practitioners.

Course Content Summary
  • Advances in strategic asset allocation techniques: resampling and the Black-Litterman ap-proach
  • The role of alternative asset classes: hedge funds, commodities and private equity for institu-tional and private clients
  • International diversification, carry trades and forex hedging;
  • Portfolio insurance models
  • Factor investing
  • Risk parity models
  • Portfolio performance evaluation and style analysis
  • Risk management of asset management portfolios
  • Private and institutional customer management and behavioural biases

Detailed Description of Assessment Methods
For attending students:
They are evaluated by means of two groupworks, each worth 25% of the final grade, and a final written test worth 50% of the final grade. The two groupworks are only valid for attending students and in connection with the written tests of the January-February session.

For non-attending students:
Written test worth 100% of the final grade.

Textbooks

There is no book for this course. Teaching material is based on slides and a number of journal arti-cles.


Prerequisites

Even if there is no formal requirements for this course you should be familiar with the basic con-cepts of theoretical finance as, for example, utility theory, standard portfolio theory and CAPM. Students are expected to understand the fundamentals of statistics and multiple regression analysis. We also take for granted the knowledge of basic calculus and matrix algebra.

Last change 20/05/2016 14:28