Objectives

The course objective is to deliver the theory and the quantitative tools that are necessary for global asset management. The focus of the course is on tactical rather than passive asset management. To this end, we develop the fundamental concepts of asset valuation in a world with time-varying risk and risk premiums. We also focus on the most recent advances in quantitative forecasting methods.

A unique feature of this course is that students build their own asset management software. In addition, using some of the techniques in the course, they perform an out-of-sample asset allocation. The most recent data (from DATASTREAM) is used in this real time allocation.

Selected Topics

-Regression analysis for portfolio  management
-Forecasting international asset returns
-Forecasting comovement and volatility with GARCH
-Top-down asset management
-International risk assessment
-Explaining average returns with risk
-Explaining predictability in returns with dynamic risk measures
-Alternative views of asset pricing
-Bottom-up asset management
-Performance evaluation
-Dynamic hedging 
-Forecasting with neural nets, genetic algorithms, and entropy-    
 based coding 

Wayne Ferson and Campbell Harvey, 1993, "The Risk and Predictability of International Equity Returns," Review of Financial Studies; Wayne Ferson and Campbell Harvey, 1994, "An Exploratory Investigation of the Fundamental Determinants of\par National Equity Market Returns," in Jeffrey Frankel, Editor, The Internationalization of Equity Markets , Campbell Harvey, 1995, "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies.

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