<p>这是Finance的必修，精算的选修，此课强烈推荐！！（一共14M)</p><p>Objective<br/>This course looks at quantitative methods used in portfolio management. Starting from a solid theoretical foundation practical issues are presented and solved regarding both passive and active portfolio management. Students are also required to actually implement the knowledge by building portfolios in Excel. Students are expected to have a solid quantitative background including matrix algebra.</p><p><br/>Content</p><p>The course contents can be split up into 3 parts, with the main focus on part 3. </p><p>In part I we lay the foundations for portfolio management, including the trade-off between risk and return, building efficient frontiers, the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT) and forecasting the variance-covariance matrix.</p><p>In part II we focus on passive portfolio management, also known as index-tracking. The main concern of the investor is to stay as close as possible to a chosen benchmark (usually an existing market index, e.g. the S&P500 index), whilst keeping transaction costs to a minimum. As of December 2000 94 funds tracked the S&P500 index, investing some US$272 billion.</p><p>In part III we focus on active funds management. The investor not only needs to have the ability to predict the returns on individual stocks and/or asset classes, but also the ability to translate these forecasts in efficient portfolios. Whereas a good implementation cannot save bad research, good research can be wasted by bad implementation.</p><p><br/>Required literature </p><p>Active Portfolio Management: </p><p>A Quantitative Approach for Producing Superior Returns and Controlling Risk</p><p>Rchard C. Grinold and Ronald N. Kahn (2nd edition, 1999, McGraw-Hill).</p><p>The book is (also) available at the Donner bookshop on campus.</p><p>In addition several articles will be provided.</p><p><br/>Lecture outline</p><p><br/>Apart from the textbook chapters, all slides, handouts and articles will appear on. It is strongly recommended to read the ‘Required reading’ prior to the lecture and to practice the relevant ‘problems’ and ‘exercises’ (and old exam questions) immediately following the lecture. Those that do not do this often fail. It is not the type of course to study in a few days before the exam. The outline is subject to minor changes.</p><p><br/>I Foundations</p><p>Lecture 1, 16 September 2005, 13:00-15:45, C5<br/>● Introduction </p><p>● Discussing Excel assignment</p><p>● CAPM </p><p>Required reading: Chapter 2 Grinold and Kahn</p><p>Lecture 2, 23 September 2005, 13:00-15:45, C5<br/>● (Complete CAPM)</p><p>● Risk: Predicting the variance-covariance matrix of stock returns</p><p>Required reading: Chapter 3 Grinold and Kahn</p><p><br/>II Passive management: Index tracking<br/>Lecture 3, 30 September 2005, 13:00-15:45, C5<br/>● Tracking error</p><p>● Passive management: Index tracking</p><p>Required reading: <br/> Larsen and Resnick, Journal of Portfolio Management 1998</p><p> Frino and Gallagher, Journal of Portfolio Management 2001</p><p>Chan, Karceski and Lakonishok, Review of Financial Studies 1999</p><p><br/>III Active management</p><p>Lecture 4, 7 October 2005, 13:00-15:45, B2 (!!)<br/>● deriving the objective function </p><p>● Information Ratio </p><p>● The fundamental law of active management </p><p>Required reading: Chapters 4, 5 and 6 Grinold and Kahn</p><p>Lecture 5, 14 October 2005, 13:00-15:45, C5<br/>Forecasting returns:</p><p>● Arbitrage Pricing Theory (APT)</p><p>● Popular and promising methods to predict stock returns</p><p>Required reading: Chapter 7 Grinold and Kahn</p><p>Lecture 6, 21 October 2005, 13:00-15:45, C5<br/>Turning scores into alphas:</p><p>● Basic forecasting rule </p><p>● Advanced forecasting </p><p>Required reading: Chapters 10 and 11 Grinold and Kahn</p><p>Lecture 7, 28 October 2005, 13:00-15:45, C5<br/>● Portfolio construction </p><p>● Record active management</p><p>Required reading: Chapter 14 & 20 Grinold and Kahn</p><p>Lecture 8, 4 November 2005, 13:00-15:45, C5</p><p>● Performance measurement</p><p>● Black and Litterman model for asset allocation</p><p>Required reading: Chapter 17 Grinold and Kahn<br/> Huij and Verbeek, working paper on funds performance</p><p> Idzorek step-by-step guide of Black&Litterman model</p><p> Chapter 7 Lee on Black&Litterman approach</p><p><br/>Lecture 9, 11 November 2005, 13:00-15:45, C5 </p><p>● The quantitative process at Goldman Sachs (Litterman’s team) vis-à-vis the quantitative process at Barclays Global Investors (Grinold and Kahn)</p><p><br/>Lecture 10, 18 November 2005, 13:00-15:45, C5</p><p>● Active portfolio management in practice (invited speaker)</p><p>● Possibly loose ends from previous lectures</p><p>● Opportunity to ask questions regarding exam</p><p><br/>
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