The George Washington University School of Business
FINA 4101, Applied Security Analysis (Dynamic Portfolio Management),
Fall 2014
Wednesdays: 12.45 pm – 3.15 pm
Capital Room (Duques 155)
Arun Muralidhar
Office: 2201 G Street, NW, Funger Hall, Room 501C
Phone: TBA
E-mail: arunm4900@gwu.edu
Office hours: Wednesdays (before class and by appointment).
Teaching Assistant: TBA
TA Schedule: TBA
Course description
FINA 4101 covers: (1) typical portfolio composition and structure; (2) measures of investment
success; (3) evaluating securities using an effective process; (4) dynamic decision making in
equities, bonds, commodities, currencies and across these asset classes; (5) technical, fundamental,
economic and sentiment indicators to evaluate securities; and (6) risk management. A detailed
course outline appears in pp. 7-11. The goal is to ensure that students, by the end of this course, can
readily step into a position of helping manage complex portfolios by being able to analyze and
manage a range of securities. The students get to manage an appx $1mn portfolio (called the
Phillips Portfolio).
Learning objectives
Our main learning objectives are:
1. To learn how institutional investors like the GWU Endowment structure portfolios. What
asset classes/securities do they invest in, typical policies and how they are implemented.
How are portfolios managed effectively? Manage a portfolio (benchmarked relative to the
S&P500)
2. To gain an in-depth understanding that effective management of portfolios is equivalent to
effective process. Must answer 4 questions every day: (a) What to do; (b) When to do it; (c)
How much to do; and (d) Why
3. To understand how one measures success in investments: (a) the concept of a benchmark;
(b) returns, risks, risk-adjusted returns, measures of skill etc. To be able to calculate these
independently and be able to comment on any mutual fund, portfolio of mutual funds,
dynamic strategy etc.
4. Apply these principles to decisions to specific assets/securities – equities, commodities,
fixed income, currencies.
5. To understand that all portfolios are dynamic because markets are dynamic and how to
create better portfolios using these techniques – how to avoid big losses in years like 2008.
6. To understand risk measurement and risk management and the difference between the two
Course materials
FINA 4101 uses the following materials:
1. In Blackboard:
 Under ‘Files,’ there are PowerPoint slides, class handouts, and readings. For each lecture,
please print the corresponding slides (see the tentative class schedule in pp. 4-6) and bring
them to class.
 Under ‘Projects,’ there are problem sets.
2. If you have time, please read pertinent articles from The Wall Street Journal (or The
Financial Times) and The Economist. If time permits, we will discuss a few articles in class.
3. There is no recommended book for the course. I will use material from the following books
sporadically but will try to keep the key readings under Files so no need to buy any book.
a. Investments by Zvi Bodie, Alex Kane, and Alan J. Marcus, 2011, 9th edition,
McGraw-Hill Irwin. Since course materials are self-contained, it is not required but
this may have some useful information
b. Principles of Finance with Microsoft Excel, by Simon Benninga, 2nd Edition, Oxford
University Press. Since the class requires EXCEL, this book might be helpful for
those who need help as we do not cover EXCEL in class.
c. A SMART Approach to Portfolio Management by Arun Muralidhar, 2011, Royal Fern
Publishing. Will use sections of this book selectively and will try to make them
available where relevant
d. Innovations in Pension Fund Management by Arun Muralidhar, 1999, Stanford
University Press. Will use sections of this book selectively and will try to make them
available where relevant
Coursework
2
Basic proficiency in EXCEL or some programming language is an ABSOLUTE requirement. There
are three critical elements in your coursework:
1. Class attendance and participation. For most students, FINA 4101 is a challenging course.
Hence, class attendance is very important for you. For example, it will help you develop
intuition and absorb the most technical topics in the course. Also, lectures often build upon
the materials covered earlier in the course. If you miss a lecture, please get the lecture notes
(e.g., notes on handouts and additional examples) from a colleague and review them before
the next lecture. You will need to present your work so this is critical.
2. Problem sets. There are individual and team problem sets. Each team should have four or
five students. While typed answers are preferred, legible handwritten answers are acceptable.
Please print your (complete) answers and submit them in class (please do not e-mail your
answers). Materials that are not submitted by the due date will not be graded. And if
you are a part of a team, you have to help and not free-ride. You may need to present
your results to the class so be prepared to be called upon to explain what you did. To clarify
my expectations, each team member should complete group projects on their own and then
compare results.
Individual team members may be asked to submit their individual
contributions. This helps evaluate performance and show how decisions are really made in
industry – different analysts have different recommendations. You should learn in this class
how to communicate the pros and cons of your individual analysis.
3. Exams. There are is just one Final Exam and it is a take-home exam.
Academic integrity
Problem sets and exams are to be completed in conformance with The George Washington
University Code of Academic Integrity (see: www.gwu.edu/~ntegrity/code.html). Examples of
academically dishonest behavior include, but are not limited to:
1. Representing material prepared by another as one’s own work; and
2. Intentionally or knowingly helping or attempting to help another to commit an act of
academic dishonesty.
I require that all team members actively participate in preparing the answers to the problem
sets. If you do not actively participate in a problem set, your team is responsible for noting it
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in the first page of the answers that the team submits. A student who does not actively
participate in a problem set will get no credit for it.
Course letter grade
Final letter grades in FINA 4101 are based on student performance in class, problem sets and
exams. We will drop your lowest grade for an individually completed problem set from the problem
sets calculation. Still complete all problem sets, as we will only drop the lowest score if that
assignment was turned in and was of reasonable quality. The weights for the final grade are as
follows:
Participation
20%
Problem Sets:
50%;
Final Exam:
30%.
Tentative schedule
As noted earlier, a tentative schedule is provided in p. 4-6. It contains: (1) the topics that each class
covers; (2) suggested readings for each class; (3) dates when problem sets are assigned and due; and
(4) exam dates. Because we allow one assignment to be dropped, all due dates for problem sets are
firm. Should an extraordinary situation occur which forces non-completion of an assignment, please
let us know and we will try to accommodate if possible. Italicized readings are required.
1
Tentative class schedule
Date
Topic
Suggested readings
Aug-27 Introduction – Course Objectives
Ch 1 - from Innovations in Pension Fund
Different Types of Investors
Management;
What is a Portfolio
Washington Post Article on Beating Index
Different Types of Instruments
All Portfolios Are Dynamic
Chapter 9 from Innovations in Pension
Measures of Investment Success
Fund Management
Basic measures of risk
BKM – Chapters 26, 2, 5 and 24
Discuss the Guidelines and Portfolio
Restrictions/Trading Tickets etc
Phillips portfolio update; check out GWU
Investments Website
Individual Problem set 1 assigned
4
2
3
Sep-3 How Does One Beat a Benchmark?
Importance of Effective Process
Concept of Rules – can be applied to all
assets
Rebalancing as a Basic Rule
Sell in May and Go Away
Sep-10 Bloomberg Training
- Creating Bloomberg Accounts
- Researching Securities/Economic Data
- Getting to Analysts’ Reports
- Downloading Data Into EXCEL
- Portfolio Functionality
Defending Your Trades – Single Stock/ETF
recommendation - PICK A SINGLE
STOCK: Buy/Sell
4
5
Crane and Jackson (2000)
Chapter 4 from SMART Approach
Individual Problem set 2 assigned
Lei and Le (2012)
Individual Problem set 1 due
Sep-17 The Case for Being Dynamic
- Correlation Hides Relationships
- In the Long Term We Are All Dead
- CAPM is Flawed
- What Can Explain Market Movements
- Various Factors
- Where Does One Research Ideas?
- Preventing data snooping
Hodgson 2006
Roberge and DeMoigne 2005 – only first
part
Pine Bridge 2011
Sep-24 Technical Analysis
- What is Technical Analysis
- Simple Moving Average
- Exponential Moving Average
- Other Indicators
Faber 2009
Moskowitz, Ooi and Pederson (2012)
BKM – Chapter 12
SMART Approach – Chapter 5
Chan, Jagadeesh and Lakoshnik
6
7
Oct-1 Fundamental Indicators
- P/E
- Dividend Yield
- Price/Sales
- Price/Book
- Volatility
- When Do Value Strategies Do
Well/Poorly
- Applying Value Analysis to Asset
Classes
Oct-8 Economic Indicators
- GDP
Team Problem set 1 assigned
Investor Guide Note
Owyong (2012)
BKM – Chapter 18
Shen(2003)
Brendan, Baker and Wurgler (2011)
Merrill Lynch – Investment Clock
5
-
8
Retail Sales
Money Supply
Inflation
Baltic Dry
ISM
BKM – Chapter 17
Bakshi et al (2010)
Conover, Jensen and Johnson, (1999)
Team Problem Set due
Problem set 3 assigned
Oct-15 Bill Belchere – Lockheed Martin Investments TBD
Market Overview
9
10
11
12
Oct-22 Sentiment Indicators
- VIX
- Volatility
- Spreads
- High/Low Prices
- Put/Call Spreads
- Bullish Percentage
- Confidence – Consumer and Business
How These Indicators Are Applied – Directly
or Indirectly (Equity vs Currency)
Copeland and Copeland 1999 – selected
portions only
Basu et al (2006) – non-technical aspects
only
Problem set 3 Due
Oct-29 Diversification
- Across assets
- Across factor buckets
- Across factors within a bucket
Benefits of diversification
Strategies – combining rules
Problem set 4 assigned
Nov-5 Risk Measurement vs Management
Barrett, Pierce, Perry and Muralidhar
- How choice of factors and rules impacts (2011)
performance
- Stop Losses
- Sizing trades
- Lowering drawdowns (negative
correlation)
- Managing portfolios in a year like 2008
Nov-12 Defending your portfolio recommendations to Phillips portfolio update
a CIO
Gerald Chen Young – CIO, UNCF
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Nov-19 Optimal portfolio construction or Currency
Management
- Multiple assets
- Multiple rules = Strategy
Roberge and DeMoigne 2005
Yardeni (2012)
Sharpe, W. 2010.
1) Asset Allocation Strategy
6
Problem set 4 Due
Take Home Exam Handed Out
14
Dec 3 Reading Days
Dec 10 FINAL EXAM
Take Home Exam Due
7
Detailed outline of course
1. Introduction
 Understand the different types of investors
o Retail
o Institutional
 Pension Funds
 Endowments
 Sovereign Wealth Funds
 What is a Portfolio?
o Asset Class, Managers, Benchmarks and Policies
 Domestic vs International
 Growth and value stocks;
 Small and large stocks;
 Default Free vs Credit Risk
 Currency
o Instruments/securities – stocks, bonds, indices, ETFs, mutual funds/external
managers
 Motivation for using indices;
 Price-weighted vs Value-weighted indices;
 ETFs/Futures
o Time – Never at a fixed weight even though benchmark is => portfolio is dynamic
o A five-step investment process;
 Step 1: Investment Policy;
 Step 2: Manager Selection
 Step 3: Portfolio Construction;
 Step 4: Portfolio Revision/Rebalancing;
 Step 5: Portfolio Performance Evaluation.
 Measures of Investment Success
o Definition of return;
o Definition of risk;
o Estimating historical returns using the average return;
o Estimating historical risk using standard deviation;
o Other measures of skill and risk
2. How Does One Beat a Benchmark? Process
 Only Two ways to beat a benchmark
o Selection
o Timing
 Historical returns on U.S. stocks and Bonds
o Historical Estimates from CAPM would have stocks outperform bonds
o Even stock market has negative performance appx 50% of the time
 Even doing nothing is a tactical bet => All portfolio management is market timing
 Best way to beat a benchmark is to be rigorous and systematic
o Follow a process without emotion
o Research the idea extensive
o Keep it simple
 Concept of Rules – can be applied to all assets
o What To Do
o When To Do It
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o How Much To Do
o When
Rebalancing as a Basic Rule
o Drift
o Calendar based
o Range based
o Volatility Based
Basics in testing a rule
o Asset on which rule will be applied
 Complementary asset (e.g., Cash)
o Starting allocations/benchmark
o Condition and when it is obtained
o Starting allocations vs end of period allocations
o Calculating returns
o Developing all the analytics
Market Anomalies
o Halloween Effect
o The January effect;
o End of month effects
3 and 4. GWU Endowment and Bloomberg
 Hear how the endowment is managed
 Get access to Bloomberg and learn basic functionality to help you do research and track
portfolios
5. The Case for Being Dynamic
 Traditional Approach
 Correlation Hides Relationships
 In the Long Term We Are All Dead
 CAPM is Flawed
o Static model in dynamic markets
o Ignores how investors make decisions – liabilities and agency
 What Can Explain Market Movements
 Various Factors
 Where Does One Research Ideas?
 Data
o Gathering data
o Scrubbing data
o Preventing data snooping – lagging data
o Accounting for release dates
o Foreign markets – have to be careful
o Data may need to be converted; smoothed etc.
6. Technical Analysis
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Is there a good economic explanation for this?
Simple Moving Average
o Faber and Moskowitz et al papers – simple rules work across many instruments
Exponential Moving Average
RSI
Bollinger Bands
9
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Technical Analysis = Trend Following = Late…
Simple approaches – Buy/Sell
o Complex versions = where the size of the position is a function of the signal
What impacts a technical strategy – sideways markets
Potentially hedging against such risks
7. Fundamental Analysis






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Typically used for stocks – less so for other instruments but there is precedent for fixed income or
commodities
P/E
Dividend Yield
Price/Sales
Price/Book
Volatility
Applying these to stocks and to entire indices
When Do Value Strategies Do Well/Poorly
8. Economic Indicators
 Trying to capture the business cycle
 Can be applied to a broad group of assets
o Equities
o Fixed Income
o Commodities
o Currency
 Each part of the cycle favors certain types of assets
o Reflation
o Recovery
o Overheat
o Stagflation
 Difficulty with economic data
o Late
o Infrequent
o Subject to revision
 Various Indicators
o GDP
o Employment
o Retail Sales
o Money Supply
o Inflation
o Baltic Dry Index
o ISM
 When Do Economic Strategies Do Well/Poorly
9. Sentiment Indicators
 Behavioral explanations
o Over-confidence
o Under-confidence
o Herd mentality
o Risk-aversion
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o Agency issues
 Various Indicators
o VIX
o Realized Volatility
o Spreads
o High/Low Prices
o Put/Call Spreads
o Bullish Percentage
o Confidence – Consumer and Business
 How These Indicators Are Applied – Directly or Indirectly (Equity vs Currency);
10. Diversification: An introduction
 What is diversification?
 Types of diversification;
 Diversification and correlation coefficient;
 Limits on the benefits of diversification.
 Ways to Diversify Portfolios
o Across assets
o Across factor buckets
o Across factors within a bucket
 Correlation of different factors
o Each strategy works well probably just 52% of the time
o But if each factor is not highly correlated, combination may work better (Basu paper)
 Strategies – combining rules
o Each rule works in a particular cycle
o Multiple average rules, when combined can deliver a good strategy
11. Risk Measurement vs Management
 How choice of factors and rules impacts performance
 Stop Losses
 Sizing trades
 Lowering drawdowns (negative correlation)
 Managing portfolios in a year like 2008
12. Optimal portfolio construction
 Multiple assets
 Multiple rules = Strategy
 Asset Allocation Strategy
13. Guest Lectures – inviting experts from GWU and other institutions to talk about
their experiences and techniques to beat the market
14. Bringing it all together – multiple assets, multiple factors, multiple time frames
and if time permits, will do one of the extra sections below.
Extra. Frictions
 Transactions costs
11
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
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
Taxes
Revisions in data
Market timings (global markets)
Impact of the frictions on portfolio performance
Extra. Currency
 How currencies are quoted
 Spots vs forwards vs futures vs option
 Case for being active in FX
 PPP, IRP and other theories of currency and why they do not work
 Different types of rules
o Technical
o Fundamental
o Carry
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Problem Sets
Problem Set 1 – Measures of Investment Success
 Students will be provided with periodic returns of a manager and a benchmark
a. What is the annualized return of the manager, benchmark and excess series?
b. What is the annualized standard deviation of the manager, benchmark and excess?
c. What is the ratio of annualized return to standard deviation of the three series?
d. What is the success ratio of the three series?
e. What is the max and min of the three series?
f. Extra credit – Assume that the desired confidence (S = 1) is 84%. What is the time
period required to establish the confidence in skill in the manager’s performance?
g. Extra credit – What is the drawdown of all three series?
h. Extra credit – Calculate the alpha, and beta of the portfolio
i. Questions:
 What is the ratio of the drawdown to the annualized standard deviation?
 Is this a good manager? What do you base your conclusion on?
 What is one of the unique features of the manager?
Problem Set 2 - Rebalancing
 Consider a portfolio invested 60 percent in the S&P500 and 40 percent in the Barclays
Aggregate index
a. Based on the daily performance, calculate the subsequent relative weights if the
portfolios are allowed to drift
 Plot the relative allocations over time
 Calculate the annualized return and other statistics [steps a through h] from
Problem Set 1 for the Portfolio with Drift compared to the 60/40 Benchmark
b. Assume that the investor wants to implement a calendar based rebalancing whereby
the actual portfolio is brought back to the 60/40 Benchmark on the 1st day of every
quarter (Jan 1, Apr 1, July 1, Oct 1).
 Plot the relative allocations over time
 Calculate the annualized return and other statistics from Problem Set 1 for the
Portfolio with Calendar Rebalancing compared to the 60/40 Benchmark
c. Assume that the investor wants to implement a range based rebalancing whereby the
actual portfolio is brought back to the 60/40 Benchmark the day after either asset
class exceeds a +/-5% range from the 60/40 Benchmark.
 Plot the relative allocations over time
 Calculate the annualized return and other statistics [steps a through h] from
Problem Set 1 for the Portfolio with Range Based Rebalancing compared to
the 60/40 Benchmark
d. Extra Credit – which form of rebalancing would you recommend to the investor and
why?
Team Problem Set 1 – Technical Analysis
 Consider a portfolio invested 100% in the S&P500 index (and assume 0% in a portfolio with
0% daily returns as a proxy for cash)
a. Calculate a short moving average (SMA) based on a period of your choice (e.g., 5
days)
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b. Calculate a long moving average (LMA) based on a period of your choice (e.g. 50
days)
c. Compare the SMA to the LMA
d. Based on the comparison develop a trading rule whereby you buy/sell the entire
holdings of equity based on the SMA vs LMA – describe your rule and your rationale
for doing so
 Calculate the annualized return and other statistics [steps a through h] from
Problem Set 1 for the Portfolio with the Technical Rule compared to the
100% in S&P500 Benchmark [REMINDER: CHECK THAT YOU ARE
COMPUTING DRAWDOWNS CORRECTLY. IT IS COMMONLY
MISSED]
 Is your strategy profitable?
e. Extra Credit – are there additional windows on the same assets that work better?
f. Extra Credit – are there additional securities based on your readings that you can
apply this rule to? If so, what securities did you choose and how successful were
they?
Individual Problem Set 3 – Fundamental Analysis
 Consider a portfolio invested 100% in the S&P500 index (and assume 0% in a portfolio with
0% daily returns as a proxy for cash)
 Collect its historical price and fundamental data (P/E, Dividend Yield or any other data you
want to use etc.)
 Partition the data so that you have in-sample data and out-of-sample data – make sure you
lag the data appropriately if needed.
 Develop a trading rule whereby you buy/sell the entire holdings of equity based on the
fundamental factor you chose
 Calculate the annualized return and other statistics [steps a through h] from
Problem Set 1 for the Portfolio with the Fundamental Rule compared to the
100% in stock/index Benchmark
 Is your strategy profitable?
 Are there additional triggers using the same indicator over which the strategy
continues to be profitable
b. Extra Credit – test whether additional factors can be used to develop an effective
rule. For example, did both the P/E and Dividend Yield work?
Individual Problem Set 4 – Economic/Sentiment and Diversification
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Consider a portfolio invested 100% in the S&P500 index (and assume 0% in a portfolio with
0% daily returns as a proxy for cash)
Collect its historical price and economic (Money Supply, Baltic Dry Index or any other data
you want to use etc.) and relevant Sentiment Indicators (e.g., VIX)
Partition the data so that you have in-sample data and out-of-sample data – make sure you
lag the data appropriately if needed.
Develop a trading rule whereby you buy/sell the entire holdings of equity based on the
Economic factor you chose
a. Calculate the annualized return and other statistics [steps a through h] from Problem
Set 1 for the Portfolio with the Economic Rule compared to the 100% in stock/index
Benchmark
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

 Is your strategy profitable?
 What are some of the dangers of adopting an Economic data based strategy?
Develop a trading rule whereby you buy/sell the entire holdings of equity based on the
Sentiment factor you chose
a. Calculate the annualized return and other statistics [steps a through h] from Problem
Set 1 for the Portfolio with the Sentiment Rule compared to the 100% in stock/index
Benchmark
 Is your strategy profitable?
Extra Credit – given Problem Set 2, 3, and 4,
a. Calculate the correlation among the various rule return streams that you created for
the homework assignments
b. Calculate the correlation between the various rules and the S&P500 return streams
c. Do you have more than one active rule that performs better than the 100% S&P 500
benchmark?
d. Create a new return stream = Best Model = weighted sum of your two or 3 best
models. For simplicity, just equal weight the rules (and make sure they add to 100%)
 How does the Best Model’s returns and risk compare to the S&P500
Benchmark?
 How does the Best Model’s returns and risk compare to the rules that make
up the Best Model?
 Is there a better mix of rule weights than the equal weighting approach?
 Explain your results.
Take Home Exam - TBD
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Readings:
Lecture 1.
Chapter 1 - from Innovations in Pension Fund Management, Arun Muralidhar
Ch. 9 from Innovations in Pension Fund Management, Arun Muralidhar
BKM – Chapters 26, 2, 5 and 24
Greek Alphabet Soup and Risk-Adjusted Performance – Arun Muralidhar
http://www.fx-concepts.com/papers/050601.pdf
Lecture 2.
Rebalancing – Howard Crane and Ralph Jackson December 2000 Frank Russell Viewpoint
Chapter 4 from SMART Approach to Portfolio Management, Arun Muralidhar
Halloween Effect, Jacobsen and Bouman, 2001 – Stocks underperform between June and October
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=76248#Paper%20Download
Lecture 3.
GWU Endowment Website
Philips Portfolio Guidelines
Lecture 4.
Lei and Le (2012). Using Bloomberg Terminals in a Security Analysis and Portfolio Management
Course
Lecture 5.
Hodgson, T. 2006. Making AA Dynamic. Investments and Pensions Europe (February): 25.
Roberge, M. and Le Moigne, C. (2005). “A multivariate dichotomic approach for tactical asset
allocation.” Journal of Asset Management Vol. 6, 3, 206–218 _ Henry Stewart Publications – First
part only
Dynamic Asset Allocation, Pine Bridge Investments, June 2011
Chapter 5 - from SMART Approach to Portfolio Management, Arun Muralidhar
Lecture 6.
Quantitative Approach to Tactical Asset Allocation – Mebane Faber 2009
Moskowitz, Ooi and Pedersen – Time Series Momentum <first part of pdf>
BKM – Chapter 12
The Profitability of Momentum Strategies by Louis K.C. Chan, Narasimhan Jegadeesh, and Josef
Lakonishok Financial Analysts Journal, vol. 55, no. 6 (November/December 1999): 80-90
Lecture 7.
Investor Guide Note on Fundamental Strategies
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Value Stocks and the Macro Cycle: Understanding the Value Cycle. David Owyong, Journal of
Investment Consulting, Vol 13, No. 1, 2012
BKM – Chapter 18
Market Timing Strategies That Worked, Shen, Pu, THE JOURNAL OF PORTFOLIO
MANAGEMENT Winter 2003 Volume 29, Number 2, Pages 57 – 68
Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly, Malcolm Baker,
Brendan Bradley, and Jeffrey Wurgler, Financial Analysts Journal 2011
Lecture 8.
Merrill Lynch – Investment Clock
BKM – Chapter 17
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global
Economic Activity, Gurdip Bakshi, George Panayotov, Georgios Skoulakis (2010)
Monetary Conditions and International Investing,C. Mitchell Conover , Gerald R. Jensen , and
Robert R. Johnson, CFA, Financial Analysts Journal, vol. 55, no. 4 (July/August 1999):38–48
Lecture 9.
Market Timing: Style and Size Rotation Using the VIX, Maggie Copeland and Tom Copeland
Financial Analysts Journal, vol. 55, no. 2 (March/April 1999) – selected sections only
When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation? Basu et al,
June 2006 – non technical aspects only
Lecture 10
Guest Lecture
Lecture 11.
Barrett, T., D. Pierce, J. Perry and A. Muralidhar. 2011. Dynamic Beta: Getting Paid to Manage
Risk. Journal of Investment Management Consulting, Special Pension Issue, December 2011.
Lecture 12.
Fundamental, Sentiment and Technicals. Yardeni (2012)
Sharpe, W. 2010. Adaptive Asset Allocation Policies. Financial Analysts Journal 66, no. 3,
(May/June): 45–59.
Lecture 13
Guest Lecture
Lecture 14
Roberge and DeMoigne 2005
Yardeni (2012)
17
Sharpe, W. 2010.
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Interesting web-sites and blogs
1) Wealthfront.com – very interesting how they set your policy allocation based on your age
and risk preference
2) http://blog.yardeni.com/ - Provides views of the economy and markets from Ed Yardeni – a
very well-known investment analyst
3) http://www.patterntrapper.com/trend-trader-readings-for-futures.html - Provides this sites
views on short term and longer term trends on a host of securities
4) http://seekingalpha.com/ - various folks post their views on the market here
5) http://research.stlouisfed.org/fred2/ - Federal Reserve System Economic database – over
45000 series covered here
6) http://www.fxstreet.com/fundamental/economic-calendar/?id=017aa3a9-8af8-43a0-8e3065b0fc7a4e32 – Provides the latest global economic updates
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