Explore the important principles underlying active portfolio management including the construction of equity portfolios and alternative model formulations and their impact on portfolio performance. Case studies based on US (and potentially international) equity data will be presented throughout the course. Portfolio optimization software will be used for constructing real-life portfolios and for back-testing of strategies. Practical examples illustrate the concepts and insights.
Learn How To:
- Measure and control for total risk and active risk of a portfolio based on the portfolio's exposures to various risk factors
- Use factors to construct portfolios that have the potential to outperform a benchmark
- Account for and reduce the impact of estimation error in determining optimal equity portfolio strategies.
- Professor Gerd Infanger
April 20-24, 2016