This course focuses on the dynamics of the portfolio management process, blending academic theory with professional best practices. 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 perspective and thei different chanllenges they face, as well as the ethical dimensions of both the manager/investor relation and of the invvestment process. Participants will gain understanding of the issues through real-world examples, cases study discussions and computer exercises. A basic knowledge of excel is expected.
The course will cover among others the following topics:
- Review of the Portfolio Management Process. The Investment Policy Statement
- Investment process - client perspective
- Risk and Return - Historical record Portfolio Optimization and Asset AllocationCAPM, APT and Multifactor Models Applying the CAPM : The Black-Litterman Approach Risk Management and VAR Managing Currency Risk and the International Dimension in Investment Management
- Portfolio Performance Evaluation and Manager Assessment
- Efficient markets and Active Management.
- Ethical Investments and the Ethics of Investment Management
- Alternative Investments and Hedge Fund Strategies
- Trading and Implementation
- Topics may be added and removed from the course to reflect on current issues and development in the asset management and investment field.
- If possible, guest lectures on equity and fixed income management by professional portfolio managers
Learning outcome knowledge
Theoretical and applied coverage of advanced portfolio management issues and techniques, for equity only portfolios, for fixed income only portfolios and for mixed portfolios. Special consideration for pension, insurance and sovereign fund portfolios.
- Class participation: 20%
- Written assignment: 30%
- Written assignment: 10%
- Written exam: 40%