| PROGRAMA DIA 26 - Introduction and Mean Variance Optimization |
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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"
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Background Reading:
Bekaert and Hodrick
Chapter 13 - "International Capital Market Equilibrium", section 13.1, 13.2 and 13.3; Chapter 1 |
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| 9:00/10:45h |
. Introduction to the program
. Recent Trends in Asset Management |
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| 10:45/11:00h |
Intervalo |
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| 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 |
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| 12:30/13:30h |
Almoço |
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| 13:30/15:00h |
. Review of Mean Variance Optimization (with Matrix Algebra), cont’d |
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| 15:00/15:30h |
Intervalo |
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| 15:30/17:00h |
. Case preparation: "The Harvard Management Company and Inflation-Protected Bonds" |
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| PROGRAMA DIA 27 - Mean Variance Optimization, Diversification and The Black-Litterman Model |
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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"
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Background Reading:
Bekaert and Hodrick, International Financial Management
Chapter 13 - "International Capital Market Equilibrium", sections 13.4 and 13.5 |
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| 9:00/10:45h |
. Case discussion: "The Harvard Management Company and Inflation-Protected Bonds"
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| 10:45/11:00h |
Intervalo |
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| 11:00/12:30h |
. The Case for International Diversification |
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| 12:30/13:30h |
Almoço |
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| 13:30/15:00h |
. Case preparation: "The G7 Global Quantitative Asset Allocation" |
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| 15:00/15:30h |
Intervalo |
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| 15:30/17:00h |
. Case discussion: "The G7 Global Quantitative Asset Allocation"
. Home Bias |
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| PROGRAMA DIA 28 - The Black-Litterman Model and Applications/Currencies |
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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
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Background Reading:
Bekaert and Hodrick, Chapters 2, 3, 6, and 7. |
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| 9:00/10:45h |
. Review of CAPM
. The Black-Litterman Approach to Asset Allocation: Introduction
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| 10:45/11:00h |
Intervalo |
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| 11:00/12:30h |
. The Black-Litterman Model: Theory and Applications
- HMC Case
- Stock Selection |
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| 12:30/13:30h |
Almoço |
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| 13:30/15:00h |
. Introduction to Currencies |
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| 15:00/15:30h |
Intervalo |
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| 15:30/17:00h |
. Case: "Currency Hedging, High Yield Currency Strategies and Asset Allocation" |
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| PROGRAMA DIA 29 - Currencies/Emerging Market Investing |
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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.
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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. |
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| 9:00/10:45h |
. Currency Hedging and Currencies in Asset Allocation
. Case Solution
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| 10:45/11:00h |
Intervalo |
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| 11:00/12:30h |
. Preparation Case on Active Currency Management (TOM vs. US. Commerce) |
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| 12:30/13:30h |
Almoço |
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| 13:30/15:00h |
. Case discussion “Active Currency Management”
. Currencies as an Asset Class |
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| 15:00/15:30h |
Intervalo |
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| 15:30/17:00h |
. Emerging Market Investing and Global Market Integration
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CURSO INTERNACIONAL
Sobre o evento
