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Portfolio Management (FINC-462-0)
This portfolio management course provides a comprehensive and detailed examination of and, hands-on experience with, alternative investment portfolio strategies for financial assets. The portfolio strategies that the class covers include strategic and tactical asset allocation, indexing, relative value and market neutral investment strategies as employed by hedge funds, fixed income investing, and asset-liability management as faced by pension funds.
The emphasis of this class is learning-by-doing. Students, in their group assignments, will develop, test, and implement the different investment strategies taught, utilizing professional portfolio management software. The class includes lessons in how to use the software and lab-time jointly using the software to create and examine alternative portfolios. Furthermore, portfolio managers from leading asset management and hedge funds will visit the class and present actual scenarios of how and when the different portfolio strategies are used. I will base the course grade on the group assignments, interaction with the guest speakers, and a final individual portfolio project.
I teach some theory in the class; however, the emphasis is much more on using the theory, rather than on the theory itself. For example, if you think the market has mispriced some stocks, what is the appropriate method to include these mispriced securities in a portfolio, how much should you invest in the different stocks?
A primary emphasis of the class is on the effect different asset allocation strategies have on the payoff characteristics of an investment portfolio; hence, the class also includes a discussion of portfolio performance evaluation and attribution, as well as, portfolio risk management.
The main assets that the class considers are publicly traded financial securities, such as stocks and bonds; although, I only focus on the use of derivatives within an overall portfolio, rather than in a portfolio of just derivatives, such as managed futures. The class does include substantive discussions of alternative asset classes, such as private equity, real estate, and commodities, but within the context of broad financial asset investment strategies. Students do have the freedom to emphasize derivatives, or any alternative asset class, in their final class portfolio assignment.
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