Asset Allocation and Investment Strategies I
Informacje ogólne
Kod przedmiotu: | 2400-QFU1AIS |
Kod Erasmus / ISCED: |
14.3
|
Nazwa przedmiotu: | Asset Allocation and Investment Strategies I |
Jednostka: | Wydział Nauk Ekonomicznych |
Grupy: |
Anglojęzyczna oferta zajęć WNE UW |
Punkty ECTS i inne: |
(brak)
|
Język prowadzenia: | angielski |
Rodzaj przedmiotu: | obowiązkowe |
Skrócony opis: |
The course presents state-of-the-art methods of asset management as well as techniques of analysis and design of investment strategies in the equity, forex, option and derivatves markets used by major institutional investors and hedge funds through the discussion of current research papers. Major areas covered include: active and passive asset management, investment performance attribution and analysis, empirical and practical analysis of investment portfolios, practical applications of quantitative methods in the design of market strategies and new investment products. The target audience of the course are students interested in asset management. |
Pełny opis: |
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 |
Literatura: |
Required readings: 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. |
Efekty uczenia się: |
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 |
Metody i kryteria oceniania: |
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) |
Właścicielem praw autorskich jest Uniwersytet Warszawski, Wydział Nauk Ekonomicznych.