Syllabus

Title
5573 S4INTF2 International Finance II - Current Topics in Asset Management
Instructors
Dr. Bernhard Scherer
Contact details
bernhard.scherer[]wu.ac.at
Type
PI
Weekly hours
2
Language of instruction
Englisch
Registration
02/05/14 to 02/24/14
Registration via LPIS
Notes to the course
Subject(s) Master Programs
Course II - International Finance
Dates
Day Date Time Room
Thursday 03/06/14 06:00 PM - 08:00 PM D4.0.133
Thursday 03/13/14 06:00 PM - 08:00 PM D4.0.133
Thursday 03/20/14 06:00 PM - 08:00 PM D4.0.133
Thursday 03/27/14 06:00 PM - 08:00 PM D4.0.133
Thursday 04/03/14 06:00 PM - 08:00 PM D4.0.133
Thursday 04/10/14 06:00 PM - 08:00 PM D4.0.133
Thursday 05/08/14 06:00 PM - 08:00 PM D4.0.133
Thursday 05/15/14 06:00 PM - 08:00 PM D4.0.133
Thursday 05/22/14 06:00 PM - 08:00 PM D4.0.133
Wednesday 05/28/14 06:00 PM - 08:00 PM D4.0.133
Thursday 06/12/14 06:00 PM - 08:00 PM TC.0.03 WIENER STÄDTISCHE

On this page:

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Contents
This course introduces current themes important in commercial asset management companies. As such we will look both at advancing portfolio theory as well as getting a better insight into the business of managing assets. I hope it will be as fun for you as for me. It will be hard, but rewarding.
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Learning outcomes

After completing this class the student will have the ability to:

  • apply his academic toolkit to current investment themes
  • better understand clients (asset owner) asset management needs
  • better understand the industrial economics of asset Management
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Teaching/learning method(s)
The course provides 10 lectures (120 minutes each). Please see the detailed unit description below for details regarding teaching and learning methods. 
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Assessment

Grading consists of 2 take home assignments, a final written exam as well as course participation - all weighted equally.

Take home assignments will contain both theoretical questions as well as some empirical work.

The final exam will only cover material discussed during our lectures. Take home assignments will provide you with a good idea about the final exam.

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Readings
1 Author: Scherer, Bernd
Title: Portfolio Construction and Risk Budgeting

Publisher: Risk, London
Edition: 4
Year: 2010
Content relevant for class examination: Yes
Recommendation: Essential reading for all students
2 Author: Scherer, Bernd; Martin, R. Douglas
Title: Modern Portfolio Optimization

Publisher: Springer, New York
Year: 2005
Content relevant for class examination: Yes
Recommendation: Essential reading for all students
3 Author: Scherer, Bernd; Winston, Kenneth
Title: The Oxford Handbook of Quantitative Asset Management

Publisher: Oxford University Press
Year: 2012
Content relevant for class examination: Yes
Recommendation: Essential reading for all students
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Recommended previous knowledge and skills
Basic understanding of mathematics and statistics. Active Portfolio Management I and II. 
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Other

LECTURER
Dr. Bernd Scherer is Chief Investment Officer at FTC Capital in Vienna. Before joining FTC in 2011, Bernd was Managing Director at Morgan Stanley, London and Professor of Finance at EDHEC Business School (January 2010 to September 2012) as well as head of quantitative research and head of portfolio engineering for Deutsche Asset Management in New York.

Bernd published more than 50 papers in academic Journals such as the Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Market, Quantitative Finance, Journal of Derivatives, Journal of Economics and Statistics, as well as in practitioner Journals such as the Journal of Risk Model Validation, Financial Analysts Journal, Journal of Portfolio Management, Financial Markets and Portfolio Management, Risk, etc. He authored or edited 8 books on quantitative Finance published by Risk, Springer and Oxford University Press. Bernd is a reviewer for international Finance Journals, wrote several contributions for the Financial Times and served 5 years as board member for the London Quant Group.

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Unit details
Unit Date Contents
1

A. Practical Extensions to Mean Variance Investing (1)

  • Equity management and characteristic portfolios
  • Transaction costs and optimal rebalancing
  • Benchmark relative investment management
  • The impact of investment constraints: 120/20 investing and transfer coefficient
  • Diversification in practice: frictional diversification costs
  • Asset class definitions: mean variance spanning and portfolio choice
2

A. Practical Extensions to Mean Variance Investing (2)
3

B. Risk Based Investing

  • Risk budgeting
  • Minimum variance portfolio, maximum diversified portfolio
  • Risk parity portfolios: concepts, performance, Evaluation
4

C. Practical Problems with Mean Variance Investing (1)

  • Resampling and estimation error
  • Robust portfolio optimization with norm constraints
  • When do we need to address non-normality?
  • Asymmetric risk measures and portfolio choice
5 C. Practical Problems with Mean Variance Investing (2)
6

D. Long Run Portfolio Choice

  • VAR models and predictability
  • Predictability and the term structure of risk
  • Case Study: Multi Period Inflation Hedging
7

E. Portfolio Choice for Asset Owners (1)

  • Private investors: shadow assets and human capital, the role of implicit leverage, asset allocation under lifetime uncertainty
  • Corporate pension funds:  Surplus risk and return, surplus frontiers, Implied returns in an ALM context, LDI and the corporate finance of pension plans
  • Sovereign wealth funds:  Optimal asset allocation for SWF funds, resource uncertainty, multi-period investing
8 E. Portfolio Choice for Asset Owners (2)
9

F. The Economics of Asset Management (1)

  • Delegated asset management: risk sharing, signaling, incentives
  • Valuation of asset management firms
  • How should asset management firms manage their own risks?
  • Asset management competition: fund tournaments
  • A dynamic model of the  asset management industry
10 F. The Economics of Asset Management (2)
11 Final Exam
Last edited: 2014-01-31



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