Insegnamento a.a. 2018-2019

Among other topics, we shall review recent developments of traditional mean/variance analysis, the role of alternative asset classes in portfolio construction, the technical aspects of long/short investing, risk management techniques designed specifically for asset management portfolios and the impact of digital advisory services. We devote a relevant portion of our time to the practical implementation of portfolio management strategies. The course includes four info room sessions and three sessions with industry experts.

Identify and describe theoretical advancements in the following topics:

• Alternatives to mean-variance asset allocation models.
• Dynamic asset allocation models.
• Role of alternative asset classes.
• Impact of exchange risk hedging.
• Factor models.
• Style analysis.
• Risk measurement and management.
• Performance evaluation.
• Digital advisory services.

• Use advanced asset allocation models, build long-short portfolios, measure and manage the risk of asset management portfolios, evaluate the performance of asset managers and discuss relevant current issues in the asset management industry, such as digital advisory or the growth of passive and factor-based products.

• Face-to-face lectures
• Guest speaker's talks (in class or in distance)
• Exercises (exercises, database, software etc.)
• Group assignments

• Guest speakers are portfolio managers operating both in the long-only and in the long-short environments.
• Exercises are simple problems to be solved at home and discussed in class.
• The group assignment asks you to apply the course material on real data, using Excel or other software. This assignment should help you better understand how the class material can be applied, as well as prepare you for solving practical investments problems commonly encountered in the world of finance. Groups are made by 5 people.The group assignment is divided into two parts:
• Style analysis and portfolio positioning vs. efficient frontier.
• Risk management and performance evaluation of asset management portfolio.

Your course grade reflects your performance on a final written test and the group assignment, with weights determined as follows:

• Final written test: 50%
• Assignment – part 1: 25%
• Assignment – part 2: 25%

Both the final test and the assignment are graded out of 30. The assignment is only valid together with the December test (for exchange students leaving Italy in December) and  the two written tests to be held in January 2019.

The final exam is strictly closed-book and closed-notes. A minimum grade of 16/30 in the final written test is required in order to pass the course regardless of the overall average inclusive of the assignment.

Non attending students are graded exclusively by means of a final written test including both qualitative and quantitative questions.

There is no textbook for this course. Teaching material is based on a number of journal articles and  slides. You have to study in depth all compulsory articles. You also receive indications about optional articles and reference books on specific topics. All the teaching materials, including the optional articles, are posted on the e-learning page of the course approximately one week before the classes.