Asset Allocation and Investment Strategies II
|Kod Erasmus / ISCED:||
|Nazwa przedmiotu:||Asset Allocation and Investment Strategies II|
|Jednostka:||Wydział Nauk Ekonomicznych|
Przedmioty obowiązkowe dla I roku Quantitative Finance
|Punkty ECTS i inne:||
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 derivatives 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 and investment strategies.
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
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.
|Efekty uczenia się:||
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
|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 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)
Właścicielem praw autorskich jest Uniwersytet Warszawski, Wydział Nauk Ekonomicznych.