Full course description
Asset Allocation was designed by professors Christopher Geczy and Jules van Binsbergen to equip you with different portfolio strategies and risk management tools. This comprehensive course delves into the intricate world of asset allocation, offering learners a robust understanding of the fundamental principles and advanced strategies employed in investment management. The course is divided into four detailed modules, each designed to build on the last, ensuring a cohesive and progressive learning experience.
In Module 1, "Asset Pricing Models," we explore the foundational concepts of individual versus professional investors, the Capital Asset Pricing Model (CAPM), multi-factor asset pricing models, and the practical application of mean-variance optimization. This module sets the stage for understanding how different models are used to predict asset prices and assess investment risk.
Module 2, "Investment Horizon and Asset Liability Management," focuses on the varying investment horizons of different types of investors and the complexities of managing assets in relation to liabilities. It covers the implications of investment horizon on risk and return, the nuances of asset liability management, and the strategic considerations in balancing long-term obligations with short-term market fluctuations.
In Module 3, "Strategic Asset Allocation," learners will dive into the methodologies behind strategic asset allocation, diversification strategies, the impact of time-varying volatility and economic policy uncertainty, and the role of risk aversion. This module also examines different models of allocation, such as the 60/40 portfolio, and their practical applications in varying market conditions.
Module 4, "Performance Attribution Analysis," offers a deep dive into the techniques used to evaluate investment performance. It covers the calculation and interpretation of performance metrics like the Sharpe ratio, the impact of tactical versus strategic allocation, and the role of multi-factor models in performance assessment. Learners will also explore the nuances of adjusted values, understanding how to attribute performance accurately in a complex investment landscape.
By the end of this course, learners will be equipped with the knowledge and skills to apply advanced asset allocation strategies, understand and utilize various asset pricing models, manage asset-liability considerations, and conduct thorough performance attribution analyses. This course is essential for anyone looking to deepen their expertise in investment management and asset allocation.