GRA 6555 Asset Management
GRA 6555 Asset Management
Starting with the debate about efficient markets (Nobel price 2013), this course examines asset allocation strategies in various asset classes, such as equities, fixed income, and currencies. After an overview of the active portfolio management industry (hedge funds and mutual funds), practical issues related to trading, performance measurement, and liquidity risk management, the course will focus on different asset allocation strategies. Students will learn to evaluate these strategies in terms of their risk-return characteristics and test if the returns are challenging the efficient market hypothesis. The course uses real data to illustrate the trading strategies and students will learn the empirical methods for analyzing trading strategies.
The student will know
- The structure of the asset management industry
- The common trading strategies
- How to evaluate the performance of a trading strategy using asset pricing theories
The student will be able to
- Construct and backtest trading strategies
- Consider issues related to practical implementation of the strategies
- Evaluate performance of the strategies
The student will be able to
- Critically assess empirical evidence in light of implementing portfolio strategies
- Analyze data and develop strategies given certain objectives
The course will cover the following topics:
- Overview: Market efficiency; trading strategies; active vs. passive management; mutual funds, hedge funds and other smart money; benchmarking and managerial incentives (LP: Chapter 1)
- Active Investment: Performance measures; finding and backtesting strategies; portfolio construction; risk management (LP: Chapters 2—4)
- Active Investment: Trading and financing a strategy (LP: Chapter 5)
- Equity strategies: Discretionary equity investing; equity valuation (LP: Chapters 6—7)
- Equity Strategies: Short bias; quant trading 1/2 (LP: Chapters 8—9)
- Equity Strategies: Quant trading 2/2 (LP: Chapter 9)
- Macro Strategies: Asset allocation and global macro investing (LP: Chapter 10—11)
- Macro Strategies: Managed futures investing (LP: Chapter 12)
- Arbitrage strategies: Theory: limits of arbitrage; arbitrage pricing; fixed income arbitrage 1/2 (LP: Chapters 13, 14)
- Arbitrage strategies: Fixed income arbitrage 2/2; covered bond arbitrage (LP: Chapters 14, 15)
- Selected topics: Monetary policy and stock returns
Students are expected to prepare for the lecture by reading assigned materials and participate actively in the class discussions. In addition, students need to solve various assignments. To help students familiarize themselves with the methods discussed in class, there will be a class project in which students develop and document their own trading strategy. In addition, each group of students will present their solutions to one assignment in class.
The exam for this course has been changed starting academic year 2023/2024. The course now has two exam codes instead of one. It is not possible to retake the old version of the exam. Please note new exam codes in the Exam section of the course description.
It is the student’s own responsibility to obtain any information provided in class.
Honour Code
Academic honesty and trust are important to all of us as individuals, and represent values that are encouraged and promoted by the honour code system. This is a most significant university tradition. Students are responsible for familiarizing themselves with the ideals of the honour code system, to which the faculty are also deeply committed. Any violation of the honour code will be dealt with in accordance with BI’s procedures for cheating. These issues are a serious matter to everyone associated with the programs at BI and are at the heart of the honour code and academic integrity. If you have any questions about your responsibilities under the honour code, please ask.
All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have specific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.
Disclaimer
Deviations in teaching and exams may occur if external conditions or unforeseen events call for this.
| Assessments |
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Exam category: Submission Form of assessment: Written submission Weight: 30 Grouping: Group (5 - 6) Duration: 1 Semester(s) Exam code: GRA 65552 Grading scale: ECTS Resit: Examination when next scheduled course |
Exam category: School Exam Form of assessment: Written School Exam - digital Weight: 70 Grouping: Individual Support materials:
Duration: 2 Hour(s) Comment: Final written examination under supervision Exam code: GRA 65553 Grading scale: ECTS Resit: Examination when next scheduled course |
All exams must be passed to get a grade in this course.
A course of 1 ECTS credit corresponds to a workload of 26-30 hours. Therefore a course of 6 ECTS credits corresponds to a workload of at least 160 hours.
Group size: 5-6 students.