Advanced Topics in Finance

Dear All, Welcome to the web page of the course.

1. I am sorry for using English, but I do not even have Cyrillic keyboard. While I will be happy to chat with you in Russian outside the class, I suggest that all "official" communications should happen in English.

2. The course is heavily case based and require a lot of homework. It can be done in groups of two or three (but you can do it also alone). U should do the cases individually.  More on course policies below

3. Grades: Based on cases and class participation. No final exam...

4.   Mandatory readings is marked with X. The rest is going to be covered in class. Please note: some of those papers are quite involved. But what I want from you is to understand the issues and not the econometric nitti-gritti.

Syllabus is HERE (as HTM) (as PDF)

 

How to reach me:

 

 

Strategic Asset Allocation (classes 1-2)

What performance should we expect from major markets over the next twenty years?Can we gain anything by international diversification? How to build workable portfolio in practice?

Slides

Readings:

I put here couple of examples of portfolio optimization (without endorsing any of those). More good examples can be found via Google.

Will Sharpe optimizer
Example of Solver
Portfolio Optimizer by Craig Holden


CLASS 3

Ontario Teachers'case is due. Questions are there.  

Of interest:

 

 

Classes 4-5

Risk Premium and Asset Pricing Models

 

Slides

Readings:

Class 6

DFA case is due.  Questions are here.

Class 7

Tactical Asset Allocation  I

Expected returns

Slides

Readings

 

Class 8  Tactical Asset Allocation 2

Comovement, Volatility, Skewness

We will finish with TAA 1 and do TAA2.

Topics:

Slides

Readings:

 

Class 9

Fast Forward case

Class 10

We will also start new topic:

EMH & Mechanics and Pitfalls of Information Processing

Slides

Readings:

 

Classes 11-12: Hedge funds and market neutral investments

Abbot Lab and Alza case is due. Questions are here. We will also consider other hedge funds strategies

 

Classes 13-14

Investor Sentiment and Risks

Royal-Dutch Case is DUE! Questions are here

Slides

 

 

 

 

Course Policies:

I strive to treat students with dignity and fairness. I try to be sensitive to the diversity (including diversity of opinions) that exists within the student body.

 
Cheating:
For group work: All groups should work independently. You may collaborate with members of your group, but may not discuss any aspect of project or case with other groups. Sharing information or ideas between groups will be considered cheating and discovered violators will be subject to severe sanctions. 
 
For exams and individual assignments: All individuals should work independently. The problem set or examination  with the traces of other persons' works or traces of  last year solutions sheets will be deemed as unacceptable and discarded. Violators will be subject to severe sanctions. Unfortunately, in the case of exams and problem sets it is impossible to distinguish between the cheater and  the person who provide his or her work to cheaters. Thus, all parties involved will be treated equally severe. 

Here is how it happens....

One more...

And the last one.

Here student insists that he is innocent of cheating.

 
Readings:

 

Readings should be done in advance of class in which material will be discussed. The outline below will advise of the relevant topic of discussion. The required readings are marked with (X). Students can access supplemental readings through me directly.  Please note: I do not require you to understand any small detail of econometric technique, but one should be able to extract and digest the main idea of the paper.  This is, of course, in addition to the important reading of the Wall Street Journal. Some of the classes require a lot of reading, please plan ahead!

I  am also putting some "extra" readings on the list (marked EXTRA). Those readings are for your enjoyment. They are not part of the package (mostly).  However, if possible, I will provide hyperlink for PDF file. You should read them if you feel that the course is not challenging enough for you.

 

Attendance:
 

Preparation and discussion of cases are integral part of this course. This means that students have to attend case discussions. I would appreciate name tags.

Written Reports:

 

Each student will prepare a written report on the case. This will involve answers to the series of questions discussed above. Each report should be typed, double-spaced and generally no more than N pages in length, not including tables and graphs (normally N=7, precise number will be specified for each case/assignment). The report will be graded on the basis of the quality of the research, as well as of the professional presentation (neatness, clarity of exposition, etc.). I would encourage you to submit this report via Email in Word with appended Excel graphs/charts in order to save paper. I will strive to give you feedback in the form of a memo or comments on hard copy of your reports, also via E-mail, which will record your grade.

What is good case analysis (for me, anyway).  May be, the best way to describe it is to describe what case is NOT. Case analysis is NOT the copying exercise from a book into MS Word. It is not exercise in history of Finance (If you are spending precious space to inform me that Markowitz got Nobel Prize, you deserve to be punished). Case report is similar with consulting recommendations. As such, you require to take a position and argue this position well. Your conclusions should be supported by firm (i.e., analytical) arguments. Possible criticizm should be explicitly addressed. Look at attachments for the case. Normally they contain wealth of analytical information to look through. In many cases you have more info than you need. Try to understand what is important and what is not. It is important part of case challenge. Normally I give you the list of questions that are designed to guide you through analysis. I am not insisting that you have to follow my template.  But all relevant issues have to be covered.  You are welcome to go to the web and to find more relevant information. However, do not try to kill me with your intellect. It is more important for me (and your grade) that you understand what you wrote than that you demonstrate that you can use google. Finally, try to be brief.  On average, each case requires from 1 to 2 days of work.

Late assignments  cannot be accepted for credit except for the most serious reasons. As such I consider serious family matters, serious health problems (certified!), etc. In such cases make-up options will be discussed. For anything else (late party, job interview, even the project for other course) here is my response: .

NB: As a result of my previous experience: All written reports should be 

1. Double-spaced with decent margins.

2. Typed using 12pt font.

3. Title page should contain your  names and student id's.

4. Within predefined length limits. I reserve the right to lower the grade if the length of your report sufficienty exceeds the limit (although I am not going to punish you for one or two pages over the limit or so)

 
Mobile Phones:
 

They should be switched off during the class. I am the only guy who can answer the phone call in my classroom.

 

Class participation:

 

Part of the grade is coming from  class participation. Please note that those are normally "bonus points" and there is no entitlement for those points. I will not accept any complaints of the type "can you give me more points for my class participation?"

To get those one should actively participate in case discussions and group presentations. I would encourage students to have their name tags on during case discussions. 

Note that visits during my office hours are NOT counted towards class participation grade (either explicitly or implicitly).

 

 

Grading:

The grade will be based on five cases with equal weight (total of 90%) plus 10% for class participation. Generally, I  try to give the cases back during next class.

Mapping to letter grades: FAIL (F, “2”): >50%, PASS(C, “3”, “TROIBAN”): 50-69.99%, GOOD(B, “4”): 70%-89.99%, EXCELLENT (A, “5”): >90%

 

Complaints re. grading:

 

All problems re. case/assignment grading should be settled within 5 days after the grade was initially announced. 

Late complaints  cannot be accepted for credit except for the most serious reasons. As such I consider serious family matters, serious health problems (certified!), etc. For anything else (late party, job interview, even the project for other course) here is my response: .

I am ready to entertain your complaint if you can submit me short memo that describes EXACTLY what you think was the problem with the grading. 

Please note that the appeal is not a free option. On appeal your grade can go up or down...