MASSIMO GUIDOLIN

1. Introduction to the course and syllabus presentation (updated syllabus here)

Introduction to the fundamentals of portfolio management 
The Opportunity Set and the Efficient Frontier (No Riskless Borrowing and Lending)
The Opportunity Set and the Efficient Frontier (with Riskless Borrowing and Lending)

READINGS
Lecture Slide Set 1, “Fundamentals of Mean-Variance Analysis” (Supplementary Material here)
Guidolin, M., and M., Pedio, 2016, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, chapters 1 and 3.

2. Utility-Based Portfolio Choice

Introduction to the State-Preference Approach
Representing Preferences and Risk Aversion Attitudes with Utility Functions

READINGS
Lecture Slide Set 2, “Utility-Based Portfolio Choice” (Supplementary Material here)
Guidolin, M., and M., Pedio, 2016, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, chapters 2.
One Excel example.

3. Tutorial on mean-variance portfolio selection methods in Excel and VBA

Handout and Excel samples and VBA codes made available by the instructors

Lecture Slide Set 3 (part 1, part 2), “Mean-variance portfolio choice in Excel” (Data here)

Excel solved sample made available by the instructors (Manuela Pedio)

Additional material: Basics of Matrix Algebra (slides)
 

4. Hints to Performance Measurement and Attribution

Decomposing Performance
Active vs. Passive Portfolio Management

READINGS
Lecture Slide Set 4, “Performance Measurement and Attribution”
Guidolin, M., and M., Pedio, 2016, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, chapter 7.
Levy, M., and R., Roll (2016). Seeking Alpha? It’s a Bad Guideline for Portfolio Optimization. Journal of Portfolio Management, 42, 107-112.
Goyal, A., Ilmanen, A., and D., Kabille (2015). Bad habits and good practices. Journal of Portfolio Management, 41, 97-107.

5. “Smart Beta” Factor Investing: Mapping Factor Exposures into Asset Allocations

READINGS
Lecture Slide Set 5, “Smart Beta and Factor Investing”
Kahn, R. N., and M., Lemmon (2015). Smart Beta: the owner's manual. Journal of Portfolio Management, 41, 76-83.
Kahn, R. N., and M., Lemmon (2016). The asset manager’s dilemma: How smart beta is disrupting the investment management industry. Financial Analysts Journal, 72, 15-20.
Dimson, E., Marsh, P., and M., Staunton (2017). Factor-based investing: the long-term evidence. Journal of Portfolio Management, 43, 15-37.

6. Using Sentiment Indicators in Asset Management: the Window to Big Data, Deep Learning, and Artificial Intelligence

READINGS
Lecture Slide Set 6, “The Role of Sentiment in Modern Portfolio Choice”
Heston, S. L., and N., R., Sinha (2017). News vs. sentiment: Predicting stock returns from news stories. Financial Analysts Journal, 73, 67-83.
Beckers, S. (2018). Do social media trump news? The relative importance of social media and news based sentiment for market timing. Journal of Portfolio Management, 45, 58-67.

7. The Role of ESG Criteria and Constraints in the Asset Management Industry

READINGS
Lecture Slide Set 7, “ESG in Asset Management”
Statman, M., and D., Glushkov (2009). The wages of social responsibility. Financial Analysts Journal, 65, 33-46.
Amel-Zadeh, A., and G., Serafeim (2018). Why and how investors use ESG information: Evidence from a global survey. Financial Analysts Journal, 74, 1-17.

Webinar material.

8. Tutorial on performance attribution methods in Excel

Handout and Excel sample 
Excel solved sample 

ASSIGNMENT HERE, due on July 31 at 11:59 pm (and do not forget CTRL+SHIFT+ENTER !)
Rule about late homeworks: for each 24 hours of delay, 10% of the total homework grade will be deducted.