261-5111-00L Asset Management: Advanced Investments (University of Zurich)
|Semester||Spring Semester 2019|
|Periodicity||yearly recurring course|
|Language of instruction||English|
|Comment||No enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH.|
UZH Module Code: MFOEC207
Mind the enrolment deadlines at UZH:
|Abstract||Comprehension and application of advanced portfolio theory|
|Objective||Comprehension and application of advanced portfolio theory|
|Content||The 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.