Investment Course III
Listed below are
links to various course-related materials, including PowerPoint files
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 Biographies
• Course Notes:
Topic
1 - Expected Returns & Measuring the Risk Premium
Topic
2 - Asset Allocation: Decisions & Strategies
Topic 3 – Demographic Changes
and Economic Growth
Topic
4 - Portfolio Risk Analysis
Topic 5 – Identifying Superior
Active Portfolio Management
Topic
6 - Portfolio Optimization: Analytical Techniques
Topic
7 - Portfolio Optimization: Case Studies
• Excel Workbooks:
Topic 1: U.S.
Historical Return Statistics, 1926-2006
Black-Litterman Expected Returns
Topics 4 & 6: Portfolio Risk Calculations
Portfolio
Optimization Using Historical Returns
•
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)
“A
Step-by-Step Guide to the Black-Litterman
Model” (by T. Idzorek)
“The
Equity Risk Premium in January 2007: Evidence from the Global CFO Outlook
Survey” (by J. Graham & C. Harvey)
T2: “The
Future of Investment Management” (by G. Brinson)
“The
Troves of Academe: Asset Allocation, Risk Budgeting, and the Investment
Performance of University Endowment Funds” (by K. Brown, L. Garlappi, and C. Tiu)
T5: “The
Right Answer to the Wrong Question: Identifying Superior Active
Management” (by V. Harlow and K. Brown)
“Of
Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual
Fund Industry” (by K. Brown, V. Harlow, and L. Starks)
T6: “Quantifying
the Cost of Investment Limits for Chilean Pension Funds” (by S.
Bernstein and R. Chumacero)