261-5111-00L Asset Management: Advanced Investments (University of Zurich)
|Semester||Spring Semester 2020|
|Periodicity||yearly recurring course|
|Language of instruction||English|
|Comment||No enrolment to this course at ETH Zurich. Book the corresponding module directly at UZH.|
UZH Module Code: MFOEC207
Mind the enrolment deadlines at UZH:
|261-5111-00 V||Asset Management: Advanced Investments (University of Zurich)|
**Course at University of Zurich**
|2 hrs||University lecturers|
|Abstract||Comprehension and application of advanced portfolio theory|
|Objective||Comprehension and application of advanced portfolio theory|
|Content||The theoretical part of the lecture consists of the topics listed below.|
- Standard Markowitz Model and Extensions MV Optimization, MV with Liabilities and CAPM.
- The Crux with MV
Resampling, regression, Black-Litterman, Bayesian, shrinkage, constrained and robust optimization.
- Downside and Coherent Risk Measures
Definition of risk measures, MV optimization under VaR and ES constraints.
- Risk Budgeting
Equal risk contribution, most diversified portfolio and other concentration indices
- Regime Switching and Asset Allocation
An introduction to regime switching models and its intuition.
- Strategic Asset Allocation
Introducing a continuous-time framework, solving the HJB equation and the classical Merton problem.
|Performance assessment information (valid until the course unit is held again)|
|Performance assessment as a semester course|
|ECTS credits||3 credits|
|Type||graded semester performance|
|Language of examination||English|
|Repetition||Repetition only possible after re-enrolling for the course unit.|
|Additional information on mode of examination||Registration modalities, date and venue of this performance assessment are specified solely by UZH.|
|No public learning materials available.|
|Only public learning materials are listed.|
|No information on groups available.|
|There are no additional restrictions for the registration.|
|Data Science Master||Interdisciplinary Electives||W|