20248 - ASSET MANAGEMENT
CLMG - M - IM - MM - AFC - CLEFIN-FINANCE - CLELI - ACME - DES-ESS - EMIT - GIO
Course taught in English
Go to class group/s: 31
The course includes four IT sessions on practical applications of the models taught in class and two sessions with industry practitioners.
- 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
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.
There is no book for this course. Teaching material is based on slides and a number of journal arti-cles.
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.