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 Portfo
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
Thi
The Theory and Pracce of MulAsset Por6olio Management
Lecture 4: Role of Expanded SAA
Inna Okounkova
February 4, 2015
1
Topics
SAA universe




Role
The Theory and Pracce of MulAsset Por6olio Management
Introducon
January 21, 2015
1
Course Logiscs
Instructors:
 Colm OCinneide ([email protected])
 Irin
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 l
CFA Institute
Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?
Author(s): Roger G. Ibbotson and Paul D. Kaplan
Source: Financial Analysts Journal, Vol. 56, No. 1 (Jan.  Feb
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 econom
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 f
Journal of Economic PerspectivesVolume 27, Number 2Spring 2013Pages 2950
Finance: Function Matters, Not Size
John H. Cochrane
T
he US economy spends $170 billion a year on advertising, just to trick
p
The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 2
Regime Indicators for Tactical Asset Allocation
Irina Bogacheva
March 2, 2015
GTAA strategy a for
The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 9
Factor Investing in Global Fixed Income
Irina Bogacheva
April 6, 2015
Table of Contents
Introduct
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 var
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
The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 4
Markov regimeswitching models
Irina Bogacheva
March 9, 2016
Applications of Markov regimeswitch
MultiAsset Portfolio Management (MATHG4078):
Risk decomposition
Colm OCinneide
Feb 22, 2016
1
Introduction
Risk decomposition or attribution enables us to understand where the risk in a portfolio
is
Introduction to the Bayesian approach to investing
Colm OCinneide
February 15, 2016
These notes cover the mathematics of the Bayesian approach to investing in the case of
normally distributed returns
MAFN4078G The Theory and Practice of
MultiAsset Portfolio Management:
Overview of the Portfolio Construction Module
Colm OCinneide
Wednesday, February 3, 2016
Colm OCinneide
MAFN4078G The Theory and
Financial Analysts Journal
Volume 68 Number 3
2012 CFA Institute
Regime Shifts: Implications for Dynamic Strategies
(corrected August 2012)
Mark Kritzman, CFA, Sbastien Page, CFA, and David Turkington
Financial Analysts Journal
Volume 70 Number 5
2014 CFA Institute
Exotic Beta Revisited
Mark Carhart, CFA, UiWing Cheah, CFA, Giorgio De Santis,
Harry Farrell, and Robert Litterman
The authors propose
The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 3
Nonparametric Regime Identification and Forecasting
Irina Bogacheva
March 7, 2016
Defining econom
Value, relative strength, and volatility in global equity co
Macedo, Rosemary
Financial Analysts Journal; Mar/Apr 1995; 51, 2; ABI/INFORM Global
pg. 70
Reproduced with permission of the copyright owne
The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 5
Factor based GTAA and factor theory
Irina Bogacheva
March 21, 2016
Table of Contents
Introduction
The Theory and Pracce of MulAsset Por6olio Management
Introducon
January 20, 2016
1
Course Logiscs
Instructors:
 Colm OCinneide ([email protected])
 Irin
The Theory and Pracce of MulAsset Por6olio Management
Lecture 4: SAA Implementaon
Inna Okounkova
February 1, 2016
1
Topics
SAA Implementaon
 Investment
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 w
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. T
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
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 methodo
The Theory and Practice of MultiAsset Portfolio Management
Global Tactical Asset Allocation
Lecture 1 Introduction
Irina Bogacheva
March 1, 2017
Some preliminaries of the GTAA section
This part of t