Seminar:
Robust
Portfolio
Allocation
International
Week I
Professor:
Antoine Giannetti,
PhD
SYLLABUS
I.
Description of the seminar
Traditional Portfolio Allocation relies on the Mean-Variance (MV) Paradigm
introduced by Harry Markowitz. The statistical implementation of this paradigm is
routinely taught in Graduate Finance courses. We start by reviewing the standard
concepts and tools of portfolio allocation. We examine the applicability as well as the
limitations of the traditional approach. We examine ways to improve on the traditional
approach when data availability is limited and/or investors are willing to incorporate
beliefs in their model. We discuss a more robust allocation process.
II. Objectives of the seminar
Familiarize seminar participants with portfolio allocation techniques.
Discuss the pitfalls in the practical application of these techniques.
Discuss new trends in portfolio allocation.
III. Competences/Skills of the seminar
Seminar participants should preferably have basic investment background.
Seminar participants should preferably have basis statistical background.
IV. Method
i.
Teaching Strategy
Content will be delivered through traditional lecture format.
ii.
Activities to develop
Participants are expected to read the provided material prior to each lecture.
All material shall be posted on my webpage: http://www.entropyfinance.com
iii.
Evaluation Criteria
A set of 4 assignments shall be turned in prior to each lecture.
A final application shall be turned it at term of the seminar.
EVALUATION CRITERIA
EVALUATION TOOLS
WEIGHTING
Preparation of lectures
Written Assignment
50%
Final Application
Written Assignment
50%
V. Schedule of activities:
the schedule must respect the format presented below.
Teaching Strategy
Session
(Date)
Content
(Description of topics
to be discussed at
each session)
(considering the
objectives and
competences raised in
the seminar)
Material
(readings,
audiovisual cases)
Homeworks to present in
class
1.
Mean Variance
11/08/2014 Allocation
Lecture
Lecture Notes
Assignment # 1
2.
Factor Investing
12/08/2014
Lecture
Lecture Notes
Assignment # 2
3.
Limitations of
13/08/2014 Traditional Methods
Lecture
Lecture Notes
Assignment # 3
4.
Alternative Portfolio
14/08/2014 Allocation
Lecture
Lecture Notes
Assignment # 4
VI.
Recommended Bibliography and other references:
i.
Bibliography / references mandatory review:
Posted on my webpage: http://www.entropyfinance.com
ii.
Bibliography / complementary references.
Asset Management: A Systematic Approach to Factor Investing. Andrew Ang.
Oxford University Press (August 6, 2014)
Investments, Bodie Kane and Marcus, McGraw Hill-Irwin
VII.
Instructions for assignments and final application.
Instructions shall be posted on my webpage.