Investment Course
Listed below are
links to various course-related materials, including PDF documents containing
the course outline and notes for various topics covered during the class, as
well as Excel workbooks containing spreadsheets supporting many of the examples
and calculations performed in the course. You will also find Word and PDF documents
containing some research articles related to the material covered in the course.
You can click on
the indicated link to download the desired document:
• Course Outline:
Topic
List & Instructor Biography
• Course Notes:
Topic
1 - Expected Returns & Measuring the Risk Premium
Topic
2 - Asset Allocation: Decisions & Strategies
Topic
3 - Portfolio Risk Analysis
Topic
4 - Fixed-Income Analysis and Portfolio Strategies
Topic
5 - Portfolio Optimization: Analytical Techniques
Topic
6 - Portfolio Optimization: Case Studies
Topic
7 – Identifying Superior Active Portfolio Management
Topic 8 – Market Efficiency & Behavioral Finance: A Brief Overview
Topic
9 – Evaluation of Portfolio Performance
• Excel Workbooks:
Topic 1: U.S.
Historical Return Statistics, 1926-2008
Black-Litterman Expected Returns & Portfolio Optimization
Topic 3: Portfolio Risk
Calculations
Topic 4: Bond Valuation & Risk Calculations
Topic 5: Portfolio
Optimization Using Historical Returns: 8.04-7.09
Portfolio
Optimization Using Historical Returns: 8.04-7.07
Topic 9: Performance
Measurement Example
•
Research Articles:
T1: “The
Equity Premium” (by
“Equity Premia as Low as Three
Percent?” (by J. Claus and J. Thomas)
“What
Risk Premium is ‘Normal’?” (by R. Arnott
and P. Bernstein)
“The
Equity Risk Premium Amid a Global Financial
Crisis” (by J. Graham & C. Harvey)
“Equity
Risk Premiums (ERP): Determinants, Estimation, and Implications” (by
A. Damodaran)
T2: “The
Future of Investment Management” (by G. Brinson)
“Asset
Allocation and Portfolio Performance: Evidence from University Endowment
Funds” (by K. Brown, L. Garlappi, and C. Tiu)
T3: “Risk
as a History of Ideas” (by P. Bernstein)
T5: “A
Step-by-Step Guide to the Black-Litterman
Model” (by T. Idzorek)
“Quantifying
the Cost of Investment Limits for Chilean Pension Funds” (by S.
Bernstein and R. Chumacero)
T6: “Asset
Allocation in a Downside Risk Framework” (by V. Harlow)
T7: “The Right Answer to the Wrong Question: Identifying Superior Active Management” (by V. Harlow and K. Brown)
T8: “The
Demographics of Overconfidence” (by G. Bhandari
and R. Deaves)
“Are
Investors Reluctant to Realize Their Losses?” (by
T. Odean)
“Of
Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual
Fund Industry” (by K. Brown, V. Harlow, and L. Starks)
T9: “Performance
Measurement Without Benchmarks: An Evaluation of
Mutual Fund Returns,” (by M. Grinblatt and
S. Titman)
“Explaining
the Returns of Chilean Equities: Are All Markets Created Equal?” (by G. Maturana)