Although there are no formal requirements for this course, you should be familiar with basic concepts of theoretical finance such as, for example, the Capital Asset Pricing Model and market efficiency. Students should also be familiar with the fundamentals of statistics and multiple regression analysis.
At the end of the course, students will be able to:
- discuss the recent evolution of the asset and wealth management industry
- describe theoretical foundations and advancements in asset allocation models
- compare asset management products in terms of return, risk and style
- evaluate the performance of asset managers
- identify the impact of exchange risk hedging
- comment current trends in the asset management industry (the growth of ETFs, the ESG integration in AM products, fintech applications in AM)
From traditional asset allocation models (Markovitz) to subsequent innovations (Black Littermann, resampling, risk parity approach). The role of alternative asset classes. International diversification and exchange rate risk. The case of hedge funds. Active management vs passive management. Performance measurement. The peculiarities of private banking and the role of large asset owners. ESG factors and strategies. Fintech applications in asset management. In the final part of the course there will be a series of workshops on portfolio construction and management in collaboration with a leading industry player. Students will be assigned group work.
Traditional lectures (either face-to-face or online, depending on the pandemic evolution)
Guest speaker's talks (in class or in distance)
The evaluation will be based:
- 80% on the outcome of a final written exam (lenght 60 minutes, 5 open questions)
- 20% on the outcome of group assignments
Non-attending students (only if enrolled in the course for 9 credits) will be required to prepare supplemental materials and 1 or 2 extra exam question in lieu of final group work.