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Global Asset Allocation and Stock Selection
WEBCAST PRICING INFORMATION
---- View on Your Own Time -- Enroll in the Class Now -----
There is a charge of $1,000 or all twelve lectures (12 two hour and fifteen minute lectures). Please note that this price is considerably less than our day-time MBA students pay to enroll in the course. After you sign up, you will be emailed a username and password. The username and password allows you to access to the webcast. I will also mail you a CD-ROM that contains the main course material.
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There is a $500 charge for Duke alumni. Duke alumni sign up.
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Webcast Syllabus
Virtual students can either audit the course (no assignments necessary) or turn in Assignment #1 and then the course will count towards a Duke Certificate in Global Capital Markets. This Certificate will consist of four courses. Nonvirtual students must turn in at least three assignments. However, two of these assignments are done in groups. Given that most virtual students are working independently, I only require Assignment #1. As with all of my Assignment #1s, they are posted on the Internet for both virtual and nonvirtual students. Assignment #1 is due before December 31, 2001Lecture 1
Course overview/Assignment #1 idea generation
The goal of this session is to set the expectations for the course and to discuss the basic structure of asset allocation and the current state of the economy. I will review each of the assignments and spend some of the class time detailing possible ideas for Assignment #1 which you need to start immediately on.
Lecture 2
Global Asset Management and the Internet
The Internet has caused what is best referred to as a "structural" change in the asset management industry. The purpose of this session is to brainstorm the future landscape of the asset management industry.
Lecture 3
Benchmark and Strategic Asset Allocation
The focus is on the measurement of long-term expected returns, volatility and correlation. We will introduce the concept of tracking error. We will also examine survivorship bias. We will specifically address the question of what the expected performance of major markets will be over the next five to ten years.
Lecture 4
Tactical Asset Allocation I: Expected Returns
We will focus this lecture on the development of short-term forecasting models for asset returns.
Lecture 5
Tactical Asset Allocation II: Comovement, Volatility, Skewness
This lecture explores the econometric techniques used for modeling volatilities and correlations. GARCH models will be explored along with alternatives such as ones based on exponentially weighted moving averages. Special Guest: Professor Tim Bollerslev, inventor of GARCH.
Lecture 6
Asset Pricing and Asset Allocation
This lecture reviews the state of asset pricing theory, from the simple CAPM to multifactor models, in international finance. Emphasis is placed on identifying and dymamically modeling risk. We start with average or unconditional exposure and work our way to more dynamic, time-varying models.
Lecture 7
Attributes and Asset Pricing
A number of recent research papers have examined the role of attributes and expected returns. In this lecture we develop a framework to link these attributes to expected returns.
Lecture 8
The Strategy of Asset Management: Fixed Income and Equity
Now that we have some familiarity with the tools of asset allocation, we now explore the business strategy of asset management. Be sure to read the case.
Lecture 9
Stock Selection I: Screening Programs
This lecture describes the state of the art techniques for selecting equity securities using multivariate scoring techniques.
Lecture 10
Stock Selection II: Regression Based Selection
We introduce regression type models to select stocks. We link these regressions to asset pricing theory and interpret the evidence that fundamental factors are able to identify good and bad expected returns opportunities.
Lecture 11
High Frequency Asset Allocation and International Hedge Funds
The goal of this lecture is to introduce and to explain the growth in international hedge funds. We will also discuss high frequency trading strategies.
Lecture 12
Course conclusions and presentations
Each nonvirtual group will have 15 minutes to present the results of their Assignment 1 projects.For more detailed information, including readings, see the course hypersyllabus.
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