IntesaBci S.p.A. Harvey Fuqua School of Business, Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge, MA USA September 10-13, 2001 Course Description This course delivers the theory and the quantitative tools that are necessary for advanced application of the principals of global asset management. The focus of the course is on strategic and tactical rather than passive asset management. To this end, we develop the fundamental concepts of asset valuation in a world with time-varying risk and risk premiums. We also focus on the most recent advances quantitative forecasting methods. The course builds on three asset allocation concepts. We begin with the strategic asset allocation decision.
Arbitrage /Ultra High Frequency. Grinold and Kahn, Active Portfolio Management: A quantitative approach for producing superior returns and selecting superior money managers •. Narang, Inside the Black Box: http://www.amazon.co.uk/Inside-Black-Box. The Fundamental Law of Active Management by Grinold and Kahn is designed to assess the value of active management, as expressed by the information ratio, using only two variables. The first variable is the portfolio manager 'skill' in selecting securities.
This is a long-term posturing. Ethical Issues In Modern Medicine Steinbock Pdf Download. Next we discuss tactical asset allocation. This is short term changes in investment weights that capture targets of opportunities (sometimes called market timing). Finally, we focus on the bottom up decision. One unique feature of the course is that students are shown how to put a portfolio together from individual stocks (stock picking). Video Clips I have shot a series of short clips for both of my courses. NOTE: ALL VIDEO CLIPS ARE SERVED BY DUKE UNIVERSITY SERVERS.
Webcast There is a webcast of many of the topics in this course. To view on demand, click here. Copyrights I reserve the copyright for all parts of the course. Any commerical reproduction of any course materials including lecture notes taken by students during the class is not allowed unless explicit permission is given by me. The Matrix Spybreak Mp3 Download.
Hypertexts Harvey, Campbell R. 2001, Advanced Global Asset Management [Various lecture notes on INTERNET.] Campbell, John Y. And Luis Viceira, 2000, Strategic Asset Allocation, manuscript, Lee, Wai, 2000, Advanced Theory and Methodology of Tactical Asset Allocation Fabozzi and Associates.. Grinold, Richard C. And Ronald N. Kahn, 2000, Active Portfolio Management: A Quantitative Approach to Providing Superior Returns and Controling Risk, Second Edition, McGraw Hill.
(approx $70) Outline and Recommended Reading Assignments Most of the reading for Advanced Global Asset Management will come from journal articles and working papers. I recognize that it is impossible to read all of these articles in four days. One required reading is the preparation for the case discussion on Wednesday morning. I will assign each student to a group in order to focus the discussion.