|
Preliminary
Schedule
Class 1:
Introduction and Overview of Asset Management
Monday, 3/22.
Readings: [BKM] chapter 5.3-5.5,
5.8. [Preassignment 1] Siegel, Jeremy J., "The
Equity Premium: Stock and Bond Returns Since
1802," Financial Analysts Journal 48
(1), 1992, 28-38. [Preassignment 2] Jorion,
Philippe, and William N. Goetzmann, "Global Stock
Markets in the Twentieth Century," Journal of
Finance 54 (3), 1999, 953-980.
Additional Readings: [BKM]
chapters 1-5 (skim).
Handouts: Syllabus,
Notes 1, Problem Set 1.
Additional Materials: Spreadsheet
for Problem Set 1, Flow
of Funds Accounts of the United States (see
in particular page 102, "Balance Sheet of
Households and Nonprofit Organizations").
Class 2: Asset
Allocation
Thursday, 3/25.
Readings: [BKM] chapters 6.1-6.6,
7.1-7.4, 8.1, & 8.2. [1] Jorion, Philippe,
"Portfolio Optimization in Practice," Financial
Analysts Journal 48 (1), 1992, 68-74.
Handouts: Notes 2, Notes on
Computing the Returns and Risk of Portfolios with
Many Assets, Notes on the Computation of the
Minimum Variance Frontier.
Additional Materials: Spreadsheet
Computing MVE Portfolio of 2 Assets using Solver,
Spreadsheet Computing MVE Portfolio.
Class 3: Asset
Pricing 1: Capital Asset Pricing Model (CAPM)
Monday, 3/29. Problem Set 1 Due.
Readings: [BKM] chapter 9.1-9.4.
Handouts: Notes 3, Problem Set 2,
Data Access Instructions for Investment, Problem
Set 1: Solutions.
Additional Materials: Spreadsheet
with Problem Set 1: Solutions.
Review Session 1
Wednesday, 3/31. 10am to noon. RJR Classroom.
Class 4: Passive
Portfolio Management, International
Diversification, and Evidence on the CAPM
Thursday, 4/1.
Readings: [BKM] chapters 8.3,
25.1, 25.3, & 25.4.
Handouts: Notes 4.
Additional Materials: Spreadsheet
with CAPM Regression, Spreadsheet with Global
Asset Allocation, Information Sheet
about the MSCI EAFE Index.
Class 5: Asset
Pricing 2: Factor Models
Monday, 4/5. Problem Set 2 Due.
Readings: [BKM] chapters
10.1-10.6 & 13.1-13.4. [2] Asness, Clifford
S., Tobias J. Moskowitz, and Lasse H. Pedersen,
Value and momentum everywhere, Working paper,
2009, AQR, University of Chicago, and NYU.
Handouts: Notes 5, Problem Set 2:
Solutions, Last Year's Midterm Exam, Last
Year's Midterm Exam: Solutions.
Additional Materials: Spreadsheet
with Problem Set 2: Solutions.
Review Session 2: Review for Midterm Exam
Wednesday, 4/7. 10am to noon. RJR Classroom.
Handouts: Recommended Practice
Problems from Bodie/Kane/Marcus.
Additional Materials: Practice
Midterm Exam, Practice Midterm Exam:
Solutions.
Class 6: Active
Portfolio Management
Thursday, 4/8.
Readings: [BKM] chapters 8.4,
8.5, 27.1, 27.3, & 27.4. [3] Black, Fischer,
and Robert Litterman, Global portfolio
optimization, Financial Analysts Journal 48
(5) 1992, 28-43.
Handouts: Notes 6.
Additional Materials:
Black-Litterman Spreadsheet.
Class 7: Midterm
Exam
Monday, 4/12.
Review Session 3
Wednesday, 4/14. 10am to noon. RJR Classroom.
Class 8: Measuring
Fund Performance
Thursday, 4/15.
Readings: [BKM] chapters 11.5,
24.1, 24.3, & 24.5. [4] Sharpe, William F.,
Asset allocation: management style and performance
measurement, Journal of Portfolio Management
18 (2) 1992, 7-19.
Handouts: Notes 8, Problem Set 3,
Midterm Exam: Solutions.
Additional Materials: Spreadsheet
for Problem Set 3, HML vs. Value Stocks
Spreadsheet.
Class 9: Asset
Pricing 3: Consumption Based Asset Pricing and
the Equity Premium Puzzle
Monday, 4/19.
Readings: [BKM] chapters 13.6
& 17.1-17.5. [5] Siegel, Jeremy J.,
Perspectives on the equity risk premium, Financial
Analysts Journal 61 (6) 2005, 61-73.
Handouts: Notes 9, Notes on
Consumption Based Asset Pricing.
Review Session 4
Wednesday, 4/21. 10am to noon. RJR Classroom.
Class 10: Asset
Management, the Macro Economy, and
Predictability of Asset Returns
Thursday, 4/22. Problem Set 3 Due.
Readings: [BKM] chapters 13.5
& 24.4.
Handouts: Notes 10, Problem Set
4, Problem Set 3: Solutions.
Additional Materials:
Predictability Spreadsheet, Barro
(2006) on rare disasters.
Class 11:
Alternative Investments: Hedge Funds and
Private Equity
Monday, 4/26.
Readings: [BKM] chapters 24.2
& 26.1-26.6. [6] Asness, Clifford, Robert
Krail, and John Liew, Do hedge funds hedge? Journal
of Portfolio Management 28 (1) 2001, 6-19.
[7] Lerner, Josh, Antoinette Schoar, and Jialan
Wang, Secrets of the academy: the drivers of
university endowment success, Journal of
Economic Perspectives 22 (3) 2008, 207-222.
Handouts: Notes 11, Last Year's
Final Exam, Last Year's Final Exam: Solutions.
Additional Materials: David
Hsieh's Hedge Fund Research Page provides
links to many of his papers on hedge funds, e.g., Hedge
Funds: An Industry in Its Adolescence, and
Hedge
Funds: Performance, Risk and Capital Formation,
Kent Daniel
(GSAM): The Liquidity Crunch in Quant
Equities: Analysis and Implications, Jurek
(2009) on Crash-neutral Currency Carry Trades.
Review Session 5: Review for Final Exam
Wednesday, 4/28. 10am to noon. RJR Classroom.
Handouts: Recommended Practice
Problems from Bodie/Kane/Marcus.
Additional Materials: Practice
Final Exam, Practice Final Exam:
Solutions.
Class 12: Review and
Trends in Asset Management
Thursday, 4/29. Problem Set 4 Due.
Handouts: Notes 12, Problem
Set 4: Solutions.
Additional Materials: Article on
Why
Older People Should Invest Less in Stocks Than
Younger People.
Final Exam
During exam period, Monday-Wednesday,
5/3-5/5. Date TBA. Time TBA. Room TBA.
|
