The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 1 Introduction to GTAA
Irina Bogacheva
February 2, 2015
Some preliminaries of the GTAA section
This part of the course concerns active decisions in quant
The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 3
Nonparametric Regime Identification and Forecasting
Irina Bogacheva
March 4, 2015
Defining economic regime indicators
Regime indicators should be linked
MATH 4078G: Transaction costs
Colm OCinneide
Monday, March 30, 2015
I will discuss, or at least touch on, three key models of transaction costs:
The inventory model of transaction costs, in which a liquidity provider requires a price concession proportio
The Theory and Practice of MultiAsset Portfolio Management
SAA: Performance Attribution
Inna Okounkova
April 8, 2015
1
Topics
Attribution methods
 Factormodel based
 Asset grouping
Attribution for multilayered decisions
Linking attribution effects
1
Multi Asset Portfolio Management
Irina A. Bogacheva
Notes on Empirical Methods
Parametric Methods I
Basic Predictive Regression
We would like to model conditional expected asset returns based on various observable factors, aka
predictors. One approach t
PCON Lecture 1: Sect. 1.1: My overview of the course
PCON Lecture 1: Sect. 1.2 Broad overview of PCON
PCON Lecture 1: Sect. 1.3: Detailed overview of PCON
The Theory and Practice of MultiAsset Portfolio
Management: Overview of the Portfolio
Construction
The Theory and Pracce of MulAsset Por6olio Management
Lecture 4: Role of Expanded SAA
Inna Okounkova
February 4, 2015
1
Topics
SAA universe




Role of expanded SAA
Endowment model
Domesc Bias
Homework 5 Factor investing in equities
Due on or before April 6, 2015 6.10pm EST
Max points 150
This assignment is about creating a 2factor longshort strategy for global country equity indices. Investable
universe is comprised of 10 liquid developed co
The BlackLitterman formula
Colm OCinneide
February 17, 2016
1
The BlackLitterman formula
We present a Bayesian interpretation of the BlackLitterman formula. The BlackLitterman
formula is a methodology for making an investment decision that combines tw
PCON: Expected Returns
The Bayesian approach
Colm OCinneide
February 2, 2016
Colm OCinneide
PCON: Expected Returns The Bayesian approach
The standard example
There is an imperfect but cheap diagnostic test for a disease.
If a person has the disease, there
YOUR NAME:
YOUR ID:
Quiz 2 (Wednesday, March 30, 2016)
Write your name and ID on both sheets. For multiplechoice questions, unless
otherwise stated, please circle the correct answer(s), or, if necessary for clarity, write
your choice clearly in the margi
Quiz 1(Monday, March 7, 2016)
1. (a) For a typical (longonly) multiasset portfolio, how much of its risk over time can be
explained by the portfolios Strategic Asset Allocation (SAA)?
(a) 40% (b) 50% (c) 90% (d) 100%
Answer (c),
The Theory and Pracce of MulAsset Por6olio Management
Lecture 1: SAA Introducon
Inna Okounkova
January 20, 2016
1
SAA Topics
Importance of SAA
Role of expanded SAA
Implementaon
 Investment vehicle
MATHG4078
Project 3: LongOnly Constrained SAA with a Value Tilt and Annual Rebalancing
Due Date 5/6/2016
Each team must submit a report of 5 pages documenting the project and an excel spreadsheet containing key
calculations, following the instructions be
Homework 3a Practicum on designing regime indicators
Due date Monday 3/9/2015 before class
US Leading Economic Indicator
You are tasked with developing a leading economic indicator (LEI) for the US. The indicator will be
used in regimebased tactical mode
Notes on solutions to portfolio construction questions on Quiz 1
1.
2.
3. In the following list, associate each asset class with the typical annual risk of that asset class.
Indicate your answers by writing a letter (a)(d) in each box.
Asset class:
(a) Cu
The Theory and Pracce of MulAsset Por6olio Management
Lecture 4: SAA Implementaon
Inna Okounkova
February 1, 2016
1
Topics
SAA Implementaon
 Investment Vehicle Selecon
ETFs
Acve Funds
 SAA Up
Homework Set 1a
Colm OCinneide
Your solutions, in Excel, must be uploaded to
Courseworks by 6:10 PM on Monday, Feb 8, 2016.
Worth 3.75% of your total grade for the course.
This homework set covers some basic quantities of interest to investors and gives y
Homework Set 1b
Colm OCinneide
Your solutions, in Excel, must be uploaded to
Courseworks by 6:10 PM on Monday, Feb 16.
Worth 5% of your total grade for the course.
Homework 1b is described in the first tab of the accompanying spreadsheet. This
document co
The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 8
Factor Investing in Global Fixed Income
Irina Bogacheva
March 30, 2016
Table of Contents
Introduction to investing in government bonds
Main bond factors
Return calculations
The total return that investors earn during a particular period of time is calculated as follows:
Rt +1 =
St + 1 + I St
, where St is the price at time t and I is the distributed income. If the pric
The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 6
Factor Investing in Global Equity
Irina Bogacheva
March 23, 2016
Table of Contents
Factor investing in global equities (regions, countries, sectors)
Va
The Theory and Pracce of MulAsset Por6olio Management
Lecture 3: SAA Construcon and Implementaon
Inna Okounkova
January 27, 2016
1
Topics
SAA Construcon
 Domesc Bias
 Peer Groups
 Currency hedg
The Theory and Pracce of MulAsset Por6olio Management
SAA Lecture 5: Performance A>ribuon
Inna Okounkova
April 6, 2016
1
Topics
A>ribuon methods
 Factormodel based
 Asset grouping
A>ribuon for mul
Homework Set 1a
Colm OCinneide
Your solutions, in Excel, must be uploaded to
Courseworks by 6:10 PM on Monday, Feb 8, 2016.
Worth 3.75% of your total grade for the course.
This homework set covers some basic quantities of interest to investors and gives y
Corrected solution to Question 6 of Quiz 1
1.
2.
3.
4.
5.
6. I have regressed the returns y of a mutual fund on a broad market index x in order to do a
factor risk analysis explaining the risk of the mutual fund in terms of their exposure to broad
equity