10567 - PORTFOLIO MANAGEMENT
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)
Efficient Frontier under Short-Selling Constraints.
READINGS
Lecture Slide Set 1, “Fundamentals of Mean-Variance Analysis”
Guidolin, M., and M., Pedio, 2016, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, chapters 1 and 3.
VIDEO RECORDINGS ARE AVAILABLE IN BLACKBOARD FOR BOCCONI SDA'S STUDENTS ACCESS
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”
Guidolin, M., and M., Pedio, 2016, Essentials of Applied Portfolio Management, EGEA and Bocconi University Press, chapters 2.
VIDEO RECORDINGS ARE AVAILABLE IN BLACKBOARD FOR BOCCONI SDA'S STUDENTS ACCESS
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)
Homework handed out (due on TBA at midnight, word file here). Solutions are here.
Rule about late homeworks: for each 24 hours of delay, 20% of the total homework grade will be deducted.
So after a 1-minute delay, your maximum grade is 16% of total course grade, after 24 hours and 1 minute, 12%, etc.
VIDEO RECORDINGS ARE AVAILABLE IN BLACKBOARD FOR BOCCONI SDA'S STUDENTS ACCESS
4. 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.
Excel samples made available by the instructors here (empty verrsion)
VIDEO RECORDINGS ARE AVAILABLE IN BLACKBOARD FOR BOCCONI SDA'S STUDENTS ACCESS
5. “Smart Beta” Factor Investing: Mapping Factor Exposures into Asset Allocations
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.
VIDEO RECORDINGS ARE AVAILABLE IN BLACKBOARD FOR BOCCONI SDA'S STUDENTS ACCESS
6. Using Sentiment Indicators in Asset Management: the Window to Big Data, Deep Learning, and Artificial Intelligence
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
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.
8. Hedge as an Alternative Asset Class; the nature of hedge fund strategies
Lecture Slide Set 8, “What Do We Know About Hedge Funds”
PREPARING THE EXAM...
A few sample questions in view of the exam (solutions here)
2018 exam (solutions here).
Modificato il 14/11/2020