1500쪽 Advanced Asset Management 강의자료

1.
프랑스 University of Evry에서 개설한 자산운용과정의 자료입니다. 담당 교수는 Thierry Roncalli인데 Amundi Asset Management에서 일하니까 겸임교수인 듯 합니다. 2012년부터 현재까지 개설한 과정입니다. 과정의 목적을 보면

Portfolio Optimization
Risk Budgeting
Smart Beta, Factor Investing and Alternative Risk Premia
Green and Sustainable Finance, ESG Investing and Climate Risk
Machine Learning in Asset Management

입니다. 요즘 뜨거운 주제들을 모두 담고 있습니다. 홈페이지는 Advanced Asset Management입니다. 우리나라에도 비슷한 과정이 있지만 굳이 소개하는 이유는 자료입니다. 약 1500쪽입니다. 목차입니다.

Part 1. Portfolio Optimization
1. Theory of portfolio optimization
1.a. The Markowitz framework
1.b. Capital asset pricing model (CAPM)
1.c. Portfolio optimization in the presence of a benchmark
1.d. Black-Litterman model
2. Practice of portfolio optimization
2.a. Covariance matrix
2.b. Expected returns
2.c. Regularization of optimized portfolios
2.d. Adding constraints
3. Tutorial exercises
3.a. Variations on the efficient frontier
3.b. Beta coefficient
3.c. Black-Litterman model

Part 2. Risk Budgeting
1. The ERC portfolio
1.a. Definition
1.b. Special cases
1.c. Properties
1.d. Numerical solution
2. Extensions to risk budgeting portfolios
2.a. Definition of RB portfolios
2.b. Properties of RB portfolios
2.c. Diversification measures
2.d. Using risk factors instead of assets
3. Risk budgeting, risk premia and the risk parity strategy
3.a. Diversified funds
3.b. Risk premium
3.c. Risk parity strategies
3.d. Performance budgeting portfolios
4. Tutorial exercises
4.a. Variation on the ERC portfolio
4.b. Weight concentration of a portfolio
4.c. The optimization problem of the ERC portfolio
4.d. Risk parity funds

Part 3. Smart Beta, Factor Investing and Alternative Risk Premia
1. Risk-based indexation
1.a. Capitalization-weighted indexation
1.b. Risk-based portfolios
1.c. Comparison of the four risk-based portfolios
1.d. The case of bonds
2. Factor investing
2.a. Factor investing in equities
2.b. How many risk factors?
2.c. Construction of risk factors
2.d. Risk factors in other asset classes
3. Alternative risk premia
3.a. Definition
3.b. Carry, value, momentum and liquidity
3.c. Portfolio allocation with ARP
4. Tutorial exercises
4.a. Equally-weighted portfolio
4.b. Most diversified portfolio
4.c. Computation of risk-based portfolios
4.d. Building a carry trade exposure

Part 4. Green and Sustainable Finance, ESG Investing and Climate Risk
1. ESG investing
1.a. Introduction to sustainable finance
1.b. ESG scoring
1.c. Performance in the stock market
1.d. Performance in the corporate bond market
2. Climate risk
2.a. Introduction to climate risk
2.b. Climate risk modeling
2.c. Regulation of climate risk
2.d. Portfolio management with climate risk
3. Sustainable financing products
3.a. SRI Investment funds
3.b. Green bonds
3.c. Social bonds
3.d. Other sustainability-linked strategies
4. Impact investing
4.a. Definition
4.b. Sustainable development goals (SDG)
4.c. Voting policy, shareholder activism and engagement
4.d. The challenge of reporting
5. Tutorial exercises
5.a. Probability distribution of an ESG score
5.b. Enhanced ESG score & tracking error control

Part 5. Machine Learning in Asset Management
1. Portfolio optimization
1.a. Standard optimization algorithms
1.b. Machine learning optimization algorithms
1.c. Application to portfolio allocation
2. Pattern learning and self-automated strategies
3. Market generators
4. Tutorial exercises
4.a. Portfolio optimization with CCD and ADMM algorithms
4.b. Regularized portfolio optimization

강의자료는 두 곳에서 받을 수 있습니다.

Advanced Course in Asset Management
Download the Presentation Slides on Asset Management

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2.
과정페이지를 보면 별도의 교재가 있습니다. 2013년에 출판한 Introduction to Risk Parity and Budgeting입니다.

Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global financial crisis in 2008. Today, pension funds and institutional investors are using this approach in the development of smart indexing and the redefinition of long-term investment policies.

Introduction to Risk Parity and Budgeting provides an up-to-date treatment of this alternative method to Markowitz optimization. It builds financial exposure to equities and commodities, considers credit risk in the management of bond portfolios, and designs long-term investment policy.

SSRN을 통해 관련 자료를 받을 수 있습니다.

Introduction to Risk Parity and Budgeting

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