Asset Allocation and Investment Strategies I

General data

Course ID:	2400-QFU1AIS
Erasmus code / ISCED:	14.3 Kod klasyfikacyjny przedmiotu składa się z trzech do pięciu cyfr, przy czym trzy pierwsze oznaczają klasyfikację dziedziny wg. Listy kodów dziedzin obowiązującej w programie Socrates/Erasmus, czwarta (dotąd na ogół 0) – ewentualne uszczegółowienie informacji o dyscyplinie, piąta – stopień zaawansowania przedmiotu ustalony na podstawie roku studiów, dla którego przedmiot jest przeznaczony. / (0311) Economics The ISCED (International Standard Classification of Education) code has been designed by UNESCO.
Course title:	Asset Allocation and Investment Strategies I
Name in Polish:	Asset Allocation and Investment Strategies I
Organizational unit:	Faculty of Economic Sciences
Course groups:	English-language course offering of the Faculty of Economics
ECTS credit allocation (and other scores):	(not available) Basic information on ECTS credits allocation principles: the annual hourly workload of the student’s work required to achieve the expected learning outcomes for a given stage is 1500-1800h, corresponding to 60 ECTS; the student’s weekly hourly workload is 45 h; 1 ECTS point corresponds to 25-30 hours of student work needed to achieve the assumed learning outcomes; weekly student workload necessary to achieve the assumed learning outcomes allows to obtain 1.5 ECTS; work required to pass the course, which has been assigned 3 ECTS, constitutes 10% of the semester student load. view allocation of credits
Language:	English
Type of course:	obligatory courses
Short description:	Master's level course. The course presents state-of-the-art methods of asset management as well as techniques of analysis and design of investment strategies in the equity, forex, option and derivatves markets used by major institutional investors and hedge funds through the discussion of current research papers. Major areas covered include: active and passive asset management, investment performance attribution and analysis, empirical and practical analysis of investment portfolios, practical applications of quantitative methods in the design of market strategies and new investment products. The target audience of the course are students interested in asset management.
Full description:	1-3. Basic investment models and characteristics of financial time series 4-6. Basic methods of security analysis and their investment applications 7-9. Multifactor models and their practical applications 10-12. Microstructure of financial markets and its role in strategy execution 13-15. Active and passive asset management. Performance attribution and analysis 16-18. Momentum strategies and their implementation 19-21. Event driven and merger arbitrage startegies 22-24. Carry trade strategies and portfolios 25-27. Long-short startegies in the equity markets 28-30. Analysis of option investments
Bibliography:	Required readings: Books (selected chapters): Elton E.J., M.J. Gruber, S.J Brown, W.N. Goetzmann. 2010. Modern portfolio theory and investment analysis, 8th ed., Wiley Lo A. 2008. Hedge funds. Princeton University Press Tsay R. 2005. Analysis of financial time series, 2nd ed., Wiley Research papers(a selection): Fung W., D.A. Hsieh. 1999. A primer on hedge funds. Journal of Empirical Finance 6, 309-331. Fama E., K. French. 1996. Multifactor explanations of asset pricing anomalies. Journal of Finance 51, 55-84. Jegadeesh N., S. Titman. 2001. Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 56, 699-720. Sharpe W. 1992. Asset allocation: management style and performance measurement. Journal of Portfolio Management 18, 7–19. Agarwal V., N. Y. Naik. 2004. Risks and portfolio decisions involving hedge funds. Review of Financial Studies 17, 63-98. Swinkels L. 2004. Momentum investing: a survey. Journal of Asset Management 5, 2, 120-143. Chen H.-L., W. De Bondt, 2004. Style momentum within the S&P-500 index. Journal of Empirical Finance 11, 483-507. Mitchell M., T. Pulvino, 2001. Characteristics of risk and return in risk arbitrage. Journal of Finance 56, 2135-2175. Darvas Z. 2009. Leveraged carry trade portfolios. Journal of Banking and Finance 33, 944-957. Lo A. W. , Patel P.N. 2008. 130/30: the new long-only. Journal of Portfolio Management, Winter 2008, 12-38 Santa-Clara P., A. Saretto. 2005. Option strategies: good deals and margin calls. SSRN.
Learning outcomes:	Students are expected to became familiar at an advanced level with: 1. fundamental investments models, characteristics of financial data and microstructure of financial markets from the perspective of asset management, 2. methods of construction and implementation of major classes of investment strategies used by actively managed funds, 3. risk and cost analysis of investment strategies, 4. performance attribution and analysis.KW01, KW02, KU01, KU02
Assessment methods and assessment criteria:	The final credit is the sum of three components related to: 1. presentation of one of the research papers in the class, 2. active participation in the discussions on the research papers, 3. slide presentation of the results of a selected research paper from outside the required readings list and their analysis using methods learned during the course (twice, at the end of Part I and Part II)

This course is not currently offered.

Course descriptions are protected by copyright.
Copyright by University of Warsaw.