Asset Allocation and Investment Strategies II 2400-QFU1AIS2
1-3. Basic investment models, active nad passive investment strategies
4-6. Risk nad returns of major hedge fund strategies
7-9. Multifactor models and their practical applications
10-12. Microstructure of financial markets and its role in strategy execution
13-15. Momentum strategies and their implementation
16-18. Event driven and merger arbitrage startegies
19-21. Carry trade strategies and portfolios
22-24. Analysis of option investments
25-27. Volatility trading strategies
28-30. Tactical asset allocation
Type of course
Upon the course completion the student:
-is familiar at an advanced level with fundamental investments models,
-is familiar at an advanced level with the characteristics of financial data and microstructure of financial markets from the perspective of asset management,
-is familiar at an advanced level with the methods of construction and implementation of major classes of investment strategies used by actively managed investment funds,
-is able to perform risk and cost analysis of investment strategies
-is able to analyze at an advanced level the returns and performance of major investment strategies
-is familiar at an advanced level with investment data analysis
-is familiar at an advanced level with computational details in the return 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 of 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 (separate final credits at the end of Part I and Part II)
Research papers (a selection):
Ibbotson R. G., P. Chen., K. X. Zhu. 2010. The ABCs of hedge funds: alphas, betas , & costs. SSRN.
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.
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
Santa-Clara P., A. Saretto. 2005. Option strategies: good deals and margin calls. SSRN.
Blitz D., P. Van Vliet. 2008. Global tactical cross-asset allocation: applying value and momentum across asset classes. SSRN.
Szado E. 2009. VIX futures and options – a case study of portfolio diversification during the 2008 financial crisis. SSRN.
Gyntelberg J., Remolona E. M. 2007. Risk in carry trades: a look at target currencies in Asia and the Pacific. BIS Quarterly Review, December 2007, 73-82.
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: