CURSO INTERNACIONAL
  GLOBAL QUANTITATIVE ASSET MANAGEMENT

 PROGRAMA

PROGRAMA DIA 26 - Introduction and Mean Variance Optimization
. Pre-Reading:
Bekaert and Wang, Inflation Risk and the Inflation Risk Premium

. Case Material (to be read the evening before):
"The Harvard Management Company and Inflation-Protected Bonds"

. Background Reading:
Bekaert and Hodrick
Chapter 13 - "International Capital Market Equilibrium", section 13.1, 13.2 and 13.3; Chapter 1

   
   
9:00/10:45h
. Introduction to the program

. Recent Trends in Asset Management
     
10:45/11:00h Intervalo
     
11:00/12:30h . Review of Mean Variance Optimization (with Matrix Algebra), using "The Harvard Management Company and Inflation-Protected Bonds" case as an illustration
     
12:30/13:30h Almoço
     
13:30/15:00h

. Review of Mean Variance Optimization (with Matrix Algebra), cont’d

     
15:00/15:30h Intervalo
     
15:30/17:00h

. Case preparation: "The Harvard Management Company and Inflation-Protected Bonds"

 
PROGRAMA DIA 27 - Mean Variance Optimization, Diversification and The Black-Litterman Model
. Pre-Reading:
Black and Litterman, “Global Portfolio Optimization,” Financial Analysts Journal, September-October 1992

. Case Material (to be distributed during class):
"The G7 Global Quantitative Asset Allocation Case"

. Background Reading:
Bekaert and Hodrick, International Financial Management
Chapter 13 - "International Capital Market Equilibrium", sections 13.4 and 13.5

   
   
9:00/10:45h
. Case discussion: "The Harvard Management Company and Inflation-Protected Bonds"

     
10:45/11:00h Intervalo
     
11:00/12:30h . The Case for International Diversification
     
12:30/13:30h Almoço
     
13:30/15:00h

. Case preparation: "The G7 Global Quantitative Asset Allocation"

     
15:00/15:30h Intervalo
     
15:30/17:00h

. Case discussion: "The G7 Global Quantitative Asset Allocation"

. Home Bias

 
PROGRAMA DIA 28 - The Black-Litterman Model and Applications/Currencies
. Pre-Reading (see previous day):
Bekaert and Wang, Inflation Risk and the Inflation Risk Premium

. Case Material (to be distributed during class):
Currency Hedging Case

. Background Reading:
Bekaert and Hodrick, Chapters 2, 3, 6, and 7.

   
   
9:00/10:45h
. Review of CAPM

. The Black-Litterman Approach to Asset Allocation: Introduction

     
10:45/11:00h Intervalo
     
11:00/12:30h . The Black-Litterman Model: Theory and Applications
- HMC Case
- Stock Selection
     
12:30/13:30h Almoço
     
13:30/15:00h

. Introduction to Currencies

     
15:00/15:30h Intervalo
     
15:30/17:00h

. Case: "Currency Hedging, High Yield Currency Strategies and Asset Allocation"

 
PROGRAMA DIA 29 - Currencies/Emerging Market Investing
. Pre-Reading:
“Valuing Currency Management: TOM vs. U.S. Commerce Bank,” by Geert Bekaert, Columbia CaseWorks No. 100310.

. Case Material (to be distributed during class):
“Valuing Currency Management: TOM vs. U.S. Commerce Bank,” by Geert Bekaert, Columbia CaseWorks No. 100310.

. Background Reading:
- Bekaert and Hodrick, Chapters 7 and 10
- Bekaert and Harvey, "Emerging Markets Finance", Journal of Empirical Finance, 2003
- Bekaert and Hodrick, Chapter 12
- Bekaert, Harvey, Lundblad and Siegel, “What Segments Equity Markets?” Review of Financial Studies, 2011.

   
   
9:00/10:45h
. Currency Hedging and Currencies in Asset Allocation

. Case Solution
     
10:45/11:00h Intervalo
     
11:00/12:30h . Preparation Case on Active Currency Management (TOM vs. US. Commerce)
     
12:30/13:30h Almoço
     
13:30/15:00h

. Case discussion “Active Currency Management”

. Currencies as an Asset Class

     
15:00/15:30h Intervalo
     
15:30/17:00h

. Emerging Market Investing and Global Market Integration

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