Asset allocation, portfolio construction and quantitative investment strategies 2400-ENSM095B
Quantitative investment management is a broad research area encompassing topics such as i.a. portfolio construction, asset allocation and the design and backtesting of investment strategies. Examples of topics that could be pursued in the seminar include, but are not limited to:
• Assessment of mutual fund performance: does active management provide value to investors
• Impact investing – the implications of using ESG criteria within the investment process
• Factor strategies in equity and fixed income space
• The role of alternative investments in portfolio construction
• Risk management and yield enhancement strategies using options (quantitative evaluation of call writing)
Irrespective of the specific topic chosen, students will be encouraged and expected to postulate empirically verifiable research questions/hypothesis and use quantitative techniques (time series econometrics, Monte Carlo simulation etc.) to verify them. Purely narrative-based studies or projects not amenable to empirical/quantitative investigation are not encouraged and will not be considered.
Course coordinators
Type of course
Learning outcomes
Preparation of a very good, possibly publishable, research project fulfilling all requirements for MA graduation thesis
Assessment criteria
The grading and evaluation proceeds in three steps:
1. Semester 1: students are expected to submit a valid research project comprising a discussion of potential research hypotheses, data and modeling tools, as well as a literature review;
2. Semester 2: to earn a passing grade for the second semester students are expected to submit a report of their key findings, attesting to the completion of the quantitative/empirical part of their future thesis/research project
3. Semester 3: students are expected to deliver a final draft of their thesis.