The courses Asset/Risk Management I and II deal with modern investment theory and its application to portfolio and risk management.
Topics of Asset/Risk Management II include:

• Corporate bonds
  Key characteristics (seniority, credit ratings, covenants, maturity, currency denomination); credit risk premium; valuation models.
• Commodities
  Empirical facts (return distributions, backwardation vs. contango); time-varying commodity risk premia.
• Currency risk premia
  Carry and other foreign exchange (FX) risk premia.
• Asset allocation and dynamic strategies
  Incorporating views into asset allocation decisions; volatility managed portfolios; return guarantees; asset liability management.
• Delegated portfolio management
  Agency problems; mutual funds and exchange traded funds; hedge funds; private equity funds; retirement savings.
• Environmental, social and governance (ESG) criteria.
  ESG preferences and return expectations; corporate social responsibility; exit versus voice; empirical evidence.

Students who have successfully completed this course will have acquired the following skills:

• form expectations on risk premia for the asset classes corporate bonds and commodities as well as on currency risk premia
• implement asset allocation techniques and dynamic portfolio strategies
• understand instruments for and pitfalls of delegated portfolio management
• understand how to cater for green investment preferences and assess likely implications on the risk/return tradeoff

In addition, students will have learned to

• analyze portfolio problems based on real-world data using R
• summarize and professionally present solutions to complex portfolio problems

Full attendance is compulsory. This means that students have to attend at least 80% of all lectures.

The course will consist of a mix of regular lectures, class room discussions, and analyses of assignments. The lectures will be largely based on the instructors’ lecture notes; additional readings will be assigned. There will be an assignment to practice the concepts developed during the lectures of ARMI and ARMII. The assignment will involve quantitative analyses using R, to be solved individually. 

Components:

• 25% individual assignment 
  
• 35% mid-term exam
• 40% final exam
• 10% bonuspoints for in-class participation: 0-2 points per class are assgined for answering questions by the instructor and contributions to in-class discussion and/or short closed-book online quizzes taken from the classroom. 

Grading:

1. [90 - 100]
2. [80 - 90)
3. [65 - 80)
4. [50 - 65)
5. < 50%

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Asset/Risk Management I