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261-5111-00L  Asset Management: Advanced Investments (University of Zurich)

SemesterSpring Semester 2019
LecturersUniversity lecturers
Periodicityyearly recurring course
Language of instructionEnglish
CommentNo enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH.
UZH Module Code: MFOEC207

Mind the enrolment deadlines at UZH:

AbstractComprehension and application of advanced portfolio theory
ObjectiveComprehension and application of advanced portfolio theory
ContentThe theoretical part of the lecture consists of the topics listed below.

- Standard Markowitz Model and Extensions MV Optimization, MV with Liabilities and CAPM.
- The Crux with MV
Resampling, regression, Black-Litterman, Bayesian, shrinkage, constrained and robust optimization.
- Downside and Coherent Risk Measures
Definition of risk measures, MV optimization under VaR and ES constraints.
- Risk Budgeting
Equal risk contribution, most diversified portfolio and other concentration indices
- Regime Switching and Asset Allocation
An introduction to regime switching models and its intuition.
- Strategic Asset Allocation
Introducing a continuous-time framework, solving the HJB equation and the classical Merton problem.