Applied Portfolio Management

Introduction

This is a case course that focuses on the dynamics of the portfolio management process and investment advice, blending academic theory with professional best practices. This is achieved mainly through the study and discussion of cases. The objective is to introduce a framework for a disciplined approach to global asset allocation and risk management. We consider both the investor and the asset manager's perspectives and the different challenges they face, as well as the ethical dimensions of both the manager/investor relation and of the investment process. We discuss how asset management can address ESG and sustainability concerns, and support progress towards the UN Sustainable Development Goals (SDGs). Participants will gain understanding of the issues through real-world examples, cases study discussions and computer exercises. A basic knowledge of Excel is expected.

Course content

The course is mostly a case course. It will review and apply to real-life cases most of the following topics:　

• Review of the Portfolio Management Process. The Investment Policy Statement
• Investment process - the investor/client perspective 　
• Risk and Return - Historical record and its limitations
• Portfolio Optimization and Asset Allocation
• Strategic allocation across investor types: individual vs institutions, domestic vs international, foundations, pension funds, national reserve funds and sovereign wealth funds.
• Applying equilibrium models to asset allocation: The Black-Litterman Approach
• Portfolio Performance Evaluation and Manager Assessment
• Performing Due Dilligence of managers, advisors and investment products
• Indexing, Factor Investing and Active Management: Market Efficiency and Asset Management. 　
• Socially Responsible Investment: ESG, Ethical Investments, Impact and Sustainable Investments and the Ethics of Investment Management
• Assessing portfolios sustainability impact and alignment with the UN SDGs, and balancing risk, return and impact.
• Alternative Investments and Hedge Fund Strategies　
• Trading and implementation
• Digital approaches to investment advisory and investment management

Topics may be added and removed from the course to reflect on current issues and development in the asset management and investment field.