FORMATIONS |
Fiche détaillée d'un cours
GLOBAL ASSET ALLOCATION | |||
2018-2019 | FrIESEG School of Management
(
IÉSEG
)
| ||
Code Cours : | 1819-IÉSEG-M1S1-FIN-MA-EI87UE | FINANCE |
Niveau | Année de formation | Période | Langue d'enseignement |
---|---|---|---|
Master | 1 | S1 | FrEnglish |
Professeur(s) responsable(s) | J.LEFEBVRE |
---|---|
Intervenant(s) | Xavier TAVARD |
- Ce cours apparaît dans les formations suivantes :
- IÉSEG > IESEG Degree - Programme Grande École > Semester 2 > 2,00 ECTS
Pré requis
PORTFOLIO MANAGEMENT AND ANALYSIS (strict)
ACTIVE PORTFOLIO MANAGEMENT: INVESTMENT SIMULATION (strict)
Objectifs du cours
- Explain the central role of the asset allocation within the investment process
- Design a consistent and client-specific strategic asset allocation for the long-run using the Mean-variance Analysis framework. See limitations of the approach and avoid frequent pitfalls when collecting and manipulating historical data
- Formulate long-term expectations about returns for major asset classes, relating asset pricing models to macroeconomic factors
- Identify phases of the business cycle which are commonly supportive to each asset classes
- Exploit the benefit of a geographical, sector or style segmentation, especially when managing a global and diversified portfolio
Contenu du cours
Empirical surveys periodically highlight the dominance of the asset class allocation as a contributor of performance over the long-run, far ahead of other investment skills such as stock picking or market timing. The course will explore how to develop a robust asset allocation, formulating and justifying recommendations to comply with the client requirement and practise in manipulating data (market prices & macroeconomic data), using application tools (optimizers, multilinear regression models):
Part 1 - Mean-Variance framework & Historical Returns approach : Recall & application through a practical case study.
Part 2 - Conditional Returns approach : modelling long-term expected returns and risk premiums using macroeconomic factors
Part 3 - Short-term Adjustment of the asset allocation to grab the positive influences of business cycles on each specific asset class
Part 4 - Extension to a global investment portfolio
Modalités d'enseignement
Organisation du cours
Type | Nombre d'heures | Remarques | |
---|---|---|---|
Face to face | |||
Interactive class | 4,00 | ||
Coaching | 4,00 | Collect market and fundamental data, Navigating in Reuters, Computation on Excel, Using optimizer programs | |
Tutorials | 8,00 | Case study : analysis of the different type of client's requirements and constraints ; develop an appropriate strategy | |
Independent study | |||
Group Project | 15,00 | Wealth management Advisory : design an client-specific strategy on the long-run and formulate recommendations on the short-run | |
Charge de travail globale de l'étudiant | 31,00 |
Méthodes pédagogiques
- Case study
- Interactive class
- Project work
- Tutorial
Évaluation
The students will be assessed on participation (analysis skill, reuse of knowledges, a project work involving the entire examination of a client situation, and the developing of an appropriate strategy for the long-run applying methodology and collecting information to properly convince the client.
Type de Contrôle | Durée | Nombre | Pondération |
---|---|---|---|
Continuous assessment | |||
Participation | 0,00 | 0 | 20,00 |
Others | |||
Group Project | 15,00 | 1 | 80,00 |
TOTAL | 100,00 |
Bibliographie
- Global Asset Allocation - New Methods and Applications- Zimmerman/Drobetz/Oertmann -
- Global Asset Allocation - A survey of the world's top investment strategies - Farber -
- Strategic Asset Allocation - White Paper - Lyxor - Roncali -
* Informations non contractuelles et pouvant être soumises à modification