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Asset Allocation Course Syllabus

The syllabus covers various topics related to asset allocation including: 1) defining asset allocation and modeling asset classes, 2) evaluating allocations using utility functions and risk measures, 3) portfolio optimization using mean-variance analysis and numerical methods, 4) modeling correlations between assets using correlation models and copulas, 5) estimation techniques and risks, 6) factor models, 7) diversification measures, 8) conditional value at risk for non-elliptical distributions, and 9) dynamic allocation strategies. The class will be graded based on homework, a project, a midterm test, and a final test. Reference texts on the topics are also listed.

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129 views2 pages

Asset Allocation Course Syllabus

The syllabus covers various topics related to asset allocation including: 1) defining asset allocation and modeling asset classes, 2) evaluating allocations using utility functions and risk measures, 3) portfolio optimization using mean-variance analysis and numerical methods, 4) modeling correlations between assets using correlation models and copulas, 5) estimation techniques and risks, 6) factor models, 7) diversification measures, 8) conditional value at risk for non-elliptical distributions, and 9) dynamic allocation strategies. The class will be graded based on homework, a project, a midterm test, and a final test. Reference texts on the topics are also listed.

Uploaded by

cef4
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Asset Allocation - Syllabus

1. Definition of Asset Allocation

2. Asset Classes and Stylized facts Modeling Univariate and Multivariate Assets

3. Evaluating Allocations - Utility Functions


3.1. Investors objectives
3.2. Stochastic dominance
3.3. Satisfaction
3.4. Certainty-equivalent (expected utility)
3.5. Quantile (value at risk)
3.6. Coherent indices (expected shortfall / CVaR) .

4. Portfolio Optimization
4.1. Mean Variance definition
4.2. Analytical Mean Variance
4.3. Numerical Methods
4.4. Impact of Constraints

5. Correlations and Copulas


5.1. Simple Correlation Model
5.2. Time Varying Correlation - Dynamic Correlation Models
5.3. Random Matrix Theory and PCA
5.4. Copulas

6. Estimation techniques and Estimation Risk


6.1. Estimation methods
6.2. Robust Allocation Methods
6.3. Black Litterman, Bayesian Methods and COP approach

7. Factor Models
7.1. Linear factor Models
7.2. PCA
7.3. Nested factor models

8. Diversification Measures and Factor Diversification

9. Mean Conditional Value at Risk for non-Elliptical Distributions


9.1. Copulas in asset allocation Non-linear correlations
9.2. Nested factor models for non-linear dependence
Asset Allocation - Syllabus

10. Dynamic / Active Allocation Strategies


[Link] Asset Allocation
[Link] Asset Allocation
10.2.1. Systematic Asset Allocation Strategies
10.2.2. Discretionary Asset Allocation Strategies
[Link] Weighted Portfolios
[Link] Parity Portfolios
[Link] Portfolios
[Link]/Concave Strategies
[Link] / OBPI / Drawdown Control

11. Liquidity and Market Impact

12. Implementation and performance attribution

Reference Text(s): There are no assigned textbooks for this class. Good references are:

- Risk and asset allocation - Attilio Meucci - Springer Finance - 2009 - ISBN-10: 3642009646

- Modern Investment Management: and equilibrium approach - Bob Litterman and the Quantitative
Resources Group - GSAM - Wiley Finance 2003 - ISBN-10: 0471124109

- Optimization Methods in Finance by Tutuncu and Cornuejols - Cambridge University Press (January 8,
2007) - ISBN-10: 0521861705

- Active Portfolio Management by Grinold and Kahn - McGraw-Hill; 2 edition (October 26, 1999) - ISBN-
10: 0070248826

Grading:

Homework : Bi weekly 20%

Project : 30%

Mid Term Test : 20%

Final Test : 30%

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