1 A. Asset  Management


Business Strategy in Asset Management

Learning objectives

The course Business Strategy in Asset Management presents the basic elements that are useful to evaluate an asset management company. The course will start with an analysis of the different business models in asset management, and then will focus on understanding investment organization, product development, distribution, operational and control functions.

Content

  • An introduction to asset management
  • Different business models in asset management
  • Understanding investment organizations
  • Understanding product development
  • Understanding distribution
  • Understanding operations and control functions
  • Understanding the P&L of an asset management company
  • Strategy in asset management

Professor

Andrea Beltratti
Full Professor of Finance, Bocconi University
SDA Professor of Accounting, Control, Corporate and Real Estate Finance
Academic Director Executive Master in Finance

Sandro Pierri
Former CEO, Pioneer Investments,
Director, Unipol Gruppo Finanziario
Strategic Advisor, Financial Services

Tommaso Corcos
Chief Executive Officer and General Manager, Eurizon Capital SGR

Risk in Financial Portfolios

Learning Objectives

The course Risk in financial portfolios aims at introducing participants to the basic ideas of risk measurement and risk management. Stress is given to classic multifactor models for the statistical analysis of vectors of returns (in particular in the stock market case). The basic ideas of Value at Risk and its estimation are discussed with examples. A quick description of more advanced techniques and of the computation of VaR for derivatives is provided.

Content

  • Introduction: definitions of risk in financial returns
  • Some statistical stylized facts on return distributions
  • Modelling the joint evolution of returns in a portfolio: factor models
  • The classic RiskMetrics Value at Risk (VaR) approach
  • Introduction to the computations of VaR for derivatives
  • Examples of VaR computations

Professor

Francesco Corielli
Associate Professor of Applied Mathematics, Bocconi University

Domenico Mignacca
Head of Risk Management, Eurizon Capital

Portafolio Optimisation

Learning Objectives

The course Portafolio Optimisation addresses the main issues in portfolio optimisation. In the first part it covers classical portfolio optimisation and highlights the main drawbacks of traditional portfolios. Regarding the point above, special attention is given to the topic of estimation risk. The second part of the course covers the major techniques and theoretical contributions to allow a robust portfolio optimisation process. In particular, Bayesian methods and heuristic approaches are explored. It also takes into consideration a new stream of asset allocation techniques which exclusively focus on risk dimension in order to build portfolios. The main objective in dealing with the mentioned topics is that of making quantitative tools and underlying reasoning, both of practical usefulness in the asset management field, accessible to students.

Content

  • Basic components of a portfolio optimisation
  • Classic Mean-Variance Optimisation
  • Estimation risk in portfolio optimisation
  • Portfolio Resampling technique
  • Risk-based approaches for portfolio construction
  • Bayesian Approaches and the Black-Litterman Model

Professor

Cedric Baron
Head della Multi-Strategy in Generali Investments

Maria Debora Braga
SDA Professor di Intermediazione Finanziaria e Assicurazioni

Life-cycle/Long Run Investing

Learning Objectives

Appreciate the difference between short- and long-run asset allocation objectives.
Assess the logical vs. practical importance of time-varying investment opportunities for optimal portfolio decisions. Quantify the role played by the investment horizon in portfolio choice. Understand how riskless human capital returns affect optimal portfolio choices. Appreciate the hedging opportunities that financial investments offer for stochastic background risks. Extend this framework to uncertain life spans, retirement ages, and life cycle decisions

Content

  • Long-run vs. short-run optimal portfolio selection: principles of strategic asset allocation
  • Predictability in strategic vs. tactical asset allocation
  • A stylized model of long-run dynamic portfolio choice and the evidence on its performance
  • An introduction to the role of labor income (background risks): the deterministic case
  • Stochastic labor income in dynamic long-horizon models
  • Life-cycle investment consumption choices with stochastic life and retirement spans
  • Customized goal-based investing in private wealth management
  • Mass-customized goal-based retirement solutions

Professor

Francisco Gomes
Professore of Finance, London Business School

Massimo Guidolin
Full Professor of Econometrics, Bocconi University

Lionel Martellini
Professor of Finance
EDHEC-Business School Director, EDHEC Risk Institute

Exchanges and Trading Venues

Learning Objectives

The course Exchanges and Trading Venues describes the trading environment –market structure, venues, and participants. The course will start with an overview of the trading process, focusing on the orders traders place and the clearing mechanisms in order-driven markets. An analysis of the organization and regulation of trading venues around the world will follow. Finally, the course will deal with quote-driven markets with special attention devoted to the microstructure of the corporate bond market.

Content

  • Trading in order-driven markets: batch auctions and limit order books
  • Market quality and trading costs
  • Trading venues: exchanges and alternative trading systems
  • Regulation; Post Trading; Market fragmentation
  • Governance of Financial Infrastructure
  • Trading in quote-driven markets: dealers and inventories
  • Algorithmic trading
  • The microstructure of the corporate bond market

Professor

Paolo Colla
Associate Professor of Finance, Bocconi University

Luca Filippa
CEO of BIt Market Services
Southern Europe Managing Director, FTSE Russell

Luca Bagato
Head of Sales and Business Development, EuroTLX

Factor Investing

Learning Objectives

Participants will learn how to think of diversified portfolios in terms of risk factors, and to understand the link between asset classes and risk factors. The course Factor Investing will start from the identification of risk factors in the standard asset pricing model approach, and discuss the variety of factors that have been discovered by the literature, emphasizing those that have been mainly used by the industry, especially in the smart beta approach. It will then discuss the mapping between stock returns and factors, understanding factor optimization and risk analysis. Finally, the course will extend the analysis to a multi-asset class framework and discuss issues of strategic diversification versus tactical factor timing and the performance of various factors n different economic environments or equity/bond market tail environments.

Content

  • Factors in asset pricing
  • Emprical methodologies to discover factors
  • Which factors are relevant?
  • Smart beta strategies
  • The asset-factor mapping
  • Optimization and factors risk analysis
  • Mutli-asset class factor analysis
  • Tactical factor timing

Professor

Andrea Beltratti
Full Professor of Finance, Bocconi University
SDA Professor of Accounting, Control, Corporate and Real Estate Finance
Academic Director Executive Master in Finance

Antti Ilmanen 
Principal, Director, AQR’s Portfolio Solutions Group

Mark Makepeace
Group Director of Information Services and Chief Executive, FTSE Group

Alternative and Real Assets

Learning Objectives

The course Alternative and Real Assets looks at alternative and real assets. Specifically we will look into the valuation of different commodities assets like energy, precious and industrial metals as well as agricultural commodities. We also address the question if commodities have a risk premia like other traditional asset classes and look into other factors that drive price returns of commodities apart from valuation. Lastly we will look into the role of commodities within a wider Multi Asset portfolio and the benefit to diversification of the overall portfolio risk.

Content

  • ABS and MBS
  • Credit enhancement and securitization
  • Airline industry and asset characteristics
  • Aviation finance and capital structure
  • Commodities risk premia and valuation models
  • Energy, natural gas, metals, agricultural commodities
  • Investing in infrastructure
  • A case study of infrastructure investing

Professor

Stefano Gatti
Associate professor of Banking and Finance, Bocconi University
SDA Professor of Banking and Insurance
Director Full-time MBA

Alessandro Gavazza
Professor of Economics, London School of Economic

Massimo Spadotto
Head of Structured Finance, Eurizon Capital

Andreas J. Koester
Managing Director
Head Multi Asset, UBS AG Switzerland

Liability-driven Investments

Learning Objectives

The course Liability-driven Investments deals with liability driven investments. This important methodology is more and more popular among asset managers and institutional investors, and involves non-benchmark products that target specific outcomes like inflation protection. More generally, it suggests the use of dynamic asset allocation that keep into account the goals of clients.

Content

  • What is liability driven investment
  • How liabilities are valued
  • Key performance indicators
  • Focus on life insurance
  • Using CPPI
  • Derivatives in LDI
  • Applications

Professor

Giuseppe Corvino
Associate Professor of Financial Markets and Intermediaries, Bocconi University
SDA Professor of Banking and Insurance