Asset Allocation and Investment Strategies I 2400-QFU1AIS
1-3. Basic investment models and characteristics of financial time series
4-6. Basic methods of security analysis and their investment applications
7-9. Multifactor models and their practical applications
10-12. Microstructure of financial markets and its role in strategy execution
13-15. Active and passive asset management. Performance attribution and analysis
16-18. Momentum strategies and their implementation
19-21. Event driven and merger arbitrage startegies
22-24. Carry trade strategies and portfolios
25-27. Long-short startegies in the equity markets
28-30. Analysis of option investments
Type of course
Students are expected to became familiar at an advanced level with: 1. fundamental investments models, characteristics of financial data and microstructure of financial markets from the perspective of asset management, 2. methods of construction and implementation of major classes of investment strategies used by actively managed funds, 3. risk and cost analysis of investment strategies, 4. performance attribution and analysis.KW01, KW02, KU01, KU02
The final credit is the sum of three components related to: 1. presentation of one of the research papers in the class, 2. active participation in the discussions on the research papers, 3. slide presentation of the results of a selected research paper from outside the required readings list and their analysis using methods learned during the course (twice, at the end of Part I and Part II)
Books (selected chapters):
Elton E.J., M.J. Gruber, S.J Brown, W.N. Goetzmann. 2010. Modern portfolio theory and investment analysis, 8th ed., Wiley
Lo A. 2008. Hedge funds. Princeton University Press
Tsay R. 2005. Analysis of financial time series, 2nd ed., Wiley
Research papers(a selection):
Fung W., D.A. Hsieh. 1999. A primer on hedge funds. Journal of Empirical Finance 6, 309-331.
Fama E., K. French. 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance 51, 55-84.
Jegadeesh N., S. Titman. 2001. Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 56, 699-720.
Sharpe W. 1992. Asset allocation: management style and performance measurement. Journal of Portfolio Management 18, 7–19.
Agarwal V., N. Y. Naik. 2004. Risks and portfolio decisions involving hedge funds. Review of Financial Studies 17, 63-98.
Swinkels L. 2004. Momentum investing: a survey. Journal of Asset Management 5, 2, 120-143.
Chen H.-L., W. De Bondt, 2004. Style momentum within the S&P-500 index. Journal of Empirical Finance 11, 483-507.
Mitchell M., T. Pulvino, 2001. Characteristics of risk and return in risk arbitrage. Journal of Finance 56, 2135-2175.
Darvas Z. 2009. Leveraged carry trade portfolios. Journal of Banking and Finance 33, 944-957.
Lo A. W. , Patel P.N. 2008. 130/30: the new long-only. Journal of Portfolio Management, Winter 2008, 12-38
Santa-Clara P., A. Saretto. 2005. Option strategies: good deals and margin calls. SSRN.
Information on level of this course, year of study and semester when the course unit is delivered, types and amount of class hours - can be found in course structure diagrams of apropriate study programmes. This course is related to the following study programmes:
Additional information (registration calendar, class conductors, localization and schedules of classes), might be available in the USOSweb system: