CFRM 503: Asset Allocation & Portfolio Management
This course felt like a more sophisticated and directed continuation of CFRM 501. It was a delicate yet palatable blend of recognizing the mathematics behind asset management, and applying them.
Reading Material:
Strategic Asset Allocation: Portfolio Choice for Long Term Investors, J. Campbell.
This course taught me mean-variance and utility maximization for strategic asset allocations, in the context of real world constraints. Starting with factor models, risk decomposition and risk attribution, then focused on daily portfolio management such as rebalancing, performance measurement and implementation.
Overall Syllabus
Uncertainty-Free Investments, Portfolio Calculations, Diversification, Mean-Variance Allocation Model
Fund Separation Theorems, Central Line Algorithm, Sensitivity of Inputs, Addressing M-V Inputs
Investor Goals, Risk Tolerance Questionnaires, Utility Functions, Utility Maximization
Risk Decomposition and Attribution
CAPM and APT, What is an Asset Class, How Important is Asset Allocation
Statistical and Market Factors, Fama-French, Yield Curve Modeling
Fixed Income, Performance Measurement and Risk Measures, Fundamental Law of Active Management, Conditional Distributions
Performance Measurement and Attribution, Scenario Analysis
Rebalancing, Derivatives, Benchmark Qualities, Scenario Analysis
Tax-Management, Home Country Bias, Stepwise Factors
Asset Allocation
Allocation for long-only and long-short portfolios
Mean-Variance Optimization
Separation Theorems
Benchmark-relative portfolios
Downside risk measures and utility maximization
Multi-period asset allocation models
Risk models and risk decomposition
Factor models
Forecasting and parameter uncertainty
Portfolio Management
Investment vehicles
Benchmarking and basis risk
Performance measurement and attribution
Rebalancing policies
Using options and futures to control risk or seek return
Security screening
Fundamental Law of Active Management
Tax-Aware implementation
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