Strategic Asset Allocation
This is an advanced course that will cover the main theories developed in the finance literature to understand asset prices. The models include both static (CAPM, APT) and dynamic (ICAPM, CCAPM and extensions, Production-based) asset pricing theories. Empirical evidence of the application and performance of the theories will also be examined. The construction of these theories is underlined by portfolio strategies that aim to optimize the relation between risk and return, given investor preferences and the investment opportunity set. The approach of the course oscillates between the normative approach of maximizing the utility of an investor and the positive approach of trying to understand the statistical properties of asset prices and returns. This course will prepare the students to use advanced asset pricing theories and dynamic portfolio allocation tools to develop asset allocation strategies for personal, sovereign and institutional wealth, and asset management. The toolset includes statistical analysis of asset pricing data, development and quantitative analysis of theoretical models, and programming tools for solving and simulating optimal allocation strategies.
The course will cover the following topics:
- Static asset allocation
- CAPM, APT and Consumption CAPM
- Intertemporal CAPM
- Production based Asset Pricing
- Empirical evidence
- Asset pricing puzzles
- Dynamic asset allocation
- Extensions of Consumption CAPM
- Predictability and the Sum-of-Parts methodology
This is an excerpt from the complete course description for the course. If you are an active student at BI, you can find the complete course descriptions with information on eg. learning goals, learning process, curriculum and exam at portal.bi.no. We reserve the right to make changes to this description.