Tham khảo tài liệu 'school of banking & finance fins5542 applied funds management course outline for session 1, 2005', tài chính - ngân hàng, kế toán - kiểm toán phục vụ nhu cầu học tập, nghiên cứu và làm việc hiệu quả | THE UNIVERSITY OF NEW SOUTH WALES SYDNEY - 2 052 AUSTRALIA SCHOOL OF BANKING FINANCE FINS5542 APPLIED FUNDS MANAGEMENT Course Outline for Session 1 2005 DESCRIPTION This course delivers the theory and the quantitative tools that are necessary for applied asset management. The focus of the course is on active rather than passive asset management. To this end we develop the fundamental concepts of asset valuation in a world with time-varying risk and risk premiums. We focus on the most recent advances in quantitative approaches to risk modelling forecasting as well as portfolio construction and evaluation techniques. The aim of the course is to provide the student with a practitioner-orientated view of asset management where concern is based more on active return and risk which is that component of return and risk that is uncorrelated to the benchmark rather than just total return and risk. The focus then is on then on the construction and management of portfolio with a view to outperform what is commonly termed the benchmark portfolio. To do this we develop a methodological quantitative approach to the active management process. This begins by understanding the parameters which define the active management objective active risk and return. Next the modeling and forecasting methodology is developed in order to transform signals about assets and the market into a forecast about expected risks and returns. These inputs are then implemented in forming an optimal portfolio that attempts to ensure the investment objectives are met at minimum cost. Finally portfolio analysis techniques are developed in order to provide insight into the performance of the portfolio. This framework in turn also allows us to develop trading and tactical asset allocation strategies where short term changes in investment weights can capture targets of opportunities which includes market or benchmark timing . The course makes extensive use of computer spreadsheets and modelling to form and .
