261-5111-00L Asset Management: Advanced Investments (University of Zurich)
Semester | Spring Semester 2020 |
Lecturers | University lecturers |
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: Link |
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. |