Investment Course
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 – Managing Risk & Return in a Long-Term Portfolio
Topic
4 - Portfolio Risk Analysis
Topic
5 – Demographic Changes and Economic Growth
Topic
6 - Portfolio Optimization: Analytical Techniques
Topic
7 - Portfolio Optimization: Case Studies
Topic
8 – Market Efficiency & Behavioral Finance: A Brief Overview
Topic
9 – Evaluation of Portfolio Performance
Topic
10 – Identifying Superior Active Portfolio Management
• Excel Workbooks:
Topic 1: U.S.
Historical Return Statistics, 1926-2007
Black-Litterman Expected Returns
Topic 4: Portfolio Risk
Calculations
Topic 6: Portfolio
Optimization Using Historical Returns
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 in January 2007: Evidence from the Global CFO Outlook
Survey” (by J. Graham & C. Harvey)
T2: “The
Future of Investment Management” (by G. Brinson)
“Does
Asset Allocation Influence Portfolio Performance?:
Evidence from University Endowment Funds” (by K. Brown, L. Garlappi, and C. Tiu)
T4: “Risk
as a History of Ideas” (by P. Bernstein)
T6: “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)
T7: “Asset
Allocation in a Downside Risk Framework” (by V. Harlow)
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)
T10: “The Right Answer to the Wrong Question: Identifying Superior Active Management” (by V. Harlow and K. Brown)