Asset Management
Code
2214
Academic unit
null
Department
null
Credits
3,5
Teacher in charge
Martijn Boons
Teaching language
English
Objectives
This course examines asset management in theory and practice, covering topics including:
International diversification;
(Strategic and tactical) asset allocation;
(Active and passive) portfolio optimization;
Predictability;
Performance measurement, benchmarking and risk;
Hedge funds.
The class addresses these issues in the context of stock, bond and alternative asset markets, such as commodities, hereby focusing on issues of market efficiency, risk and return characteristics, and manager strategies and incentives.
Prerequisites
N/A
Subject matter
International diversification;
(Strategic and tactical) asset allocation;
(Active and passive) portfolio optimization;
Predictability;
Performance measurement, benchmarking and risk;
Hedge funds.
Bibliography
Asset Management A Systematic Approach to Factor Investing by Andrew Ang, 1st edition 2014.
Investments, 9th edition by Bodie, Kane and Marcus, McGraw-Hill Irwin.
Recommended:
Active Portfolio Management, 2nd Edition by Grinold and Kahn, McGraw-Hill Financial.
Markets and Corporate Strategy, 2nd Edition by Grinblatt and Titman, McGraw-Hill.
Investment Management by Bernstein and Damodaran, Wiley.
The Essays of Warren Buffett: Lessons for Corporate America, arranged by Lawrence Cunningham.
Resources
Class Handouts. Exercises and other material will be provided ahead of the classes.
Teaching method
There is a total of 3 hours in class per week. Classes are devoted to the presentation of the material by the instructor and to application of the material in the form of simple exercises and more involved examples with real data.
Evaluation method
The Final Exam is mandatory and must cover the entire span of the course. Its weight in the final grade can be between 30 to 70%. The remainder of the evaluation can consist of class participation, midterm exams, in class tests, etc. Overall, written in class assessment (final exam, midterm) must have a weight of at least 50%.
Final grades will be determined as follows:Assignments: Two group exercises will be assigned during the term to illustrate and reinforce course concepts. The exercises instructions will be posted on the course website. The due dates are listed on the course schedule (available in the first week of class). Please note that late submissions will not be accepted, and will result in a zero for that assignment.
Final Exam (mandatory). The final examination will be designed to test your understanding of the topics covered in the lectures, readings, and exercises.
Assignments: 20*2% = 40%
Final exam: 60%
Scale:
All three grades will be rounded at .5 (suppose your point average for the first assignment averages out to 16.39 out of 20, then your grade will be a 16.5). The final grade will be averaged using the weights above and rounded at the closest integer (suppose your grade averages out to 16.39, your final grade for the course will then be a 16). None of these rules are up for discussion and neither the teacher nor the TA will answer any such requests.
Inspection:
For each of the three components of the grade there will be a revision session. In this revision session the TA shows the students their corrected exam material and will answer questions about the correction if necessary. If the student thinks his exam was not graded correctly, for any reason, he or she can put in a request for grade revision with the professor by filling in a form. As a disclaimer, beware that a request for exam revision implies that the professor will have a look at your whole exam, not just the question you are suggesting us to revise. Hence, your grade might also go down after the revision.