Asset Allocation and Investment Strategies II

General data

Course ID:	2400-QFU1AIS2
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 II
Name in Polish:	Asset Allocation and Investment Strategies II
Organizational unit:	Faculty of Economic Sciences
Course groups:
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 derivatives 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 and investment strategies.
Full description:	1-3. Basic investment models, active nad passive investment strategies 4-6. Risk nad returns of major hedge fund strategies 7-9. Multifactor models and their practical applications 10-12. Microstructure of financial markets and its role in strategy execution 13-15. Momentum strategies and their implementation 16-18. Event driven and merger arbitrage startegies 19-21. Carry trade strategies and portfolios 22-24. Analysis of option investments 25-27. Volatility trading strategies 28-30. Tactical asset allocation
Bibliography:	Research papers (a selection): Ibbotson R. G., P. Chen., K. X. Zhu. 2010. The ABCs of hedge funds: alphas, betas , & costs. SSRN. 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. 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 Santa-Clara P., A. Saretto. 2005. Option strategies: good deals and margin calls. SSRN. Blitz D., P. Van Vliet. 2008. Global tactical cross-asset allocation: applying value and momentum across asset classes. SSRN. Szado E. 2009. VIX futures and options – a case study of portfolio diversification during the 2008 financial crisis. SSRN. Gyntelberg J., Remolona E. M. 2007. Risk in carry trades: a look at target currencies in Asia and the Pacific. BIS Quarterly Review, December 2007, 73-82.
Learning outcomes:	Upon the course completion the student: -is familiar at an advanced level with fundamental investments models, -is familiar at an advanced level with the characteristics of financial data and microstructure of financial markets from the perspective of asset management, -is familiar at an advanced level with the methods of construction and implementation of major classes of investment strategies used by actively managed investment funds, -is able to perform risk and cost analysis of investment strategies -is able to analyze at an advanced level the returns and performance of major investment strategies -is familiar at an advanced level with investment data analysis -is familiar at an advanced level with computational details in the return 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 of 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 (separate final credits 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.