1 B. Wealth 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

Regulation

Learning objectives

This course Regulation discusses why and how public authorities intervene in financial markets, with a special focus on wealth management. The starting point is the reason why the financial system needs regulation, after having discussed this topic, we will look through the wealth management characteristics and business models. The course will debate the impact of the prudential regulation and the investor protection approach. We will discuss the regulatory framework on both the investment services production side and the distribution side.  Finally, we will discuss the topic of the reputational risk in wealth management, having a special look at the distribution side.

Course content

  • Regulatory environment: a special Focus on Wealth Management
  • Key Risk Factors in Wealth Management and Impact of regulation on business models
  • The CRD IV risk governance approach: effects in wealth management
  • The MiFID and ESMA regulation on “Know your customer rule”
  • The UCITS regime
  • The AIFMD directive: scope and implementation
  • The AML regulatory framework: source and consequences of reputational risk in wealth management
  • A comprehensive fund distribution approach: the Allfunds case history

Professor

Paola Musile Tanzi
SDA Professor of Banking and Insurance
Full Professor of Banking and Finance

Gianluca Renzini
Deputy General Manager, Allfunds Bank

Andreas Stepnitzka
Senior Regulatory  Policy Advisor, EFAMA

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

Maria Debora Braga
SDA Professor of Banking and Insurance

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

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 xchanges 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

Household Finance

Learning Objectives

The course Household Finance is divided in two parts. The first part of the course outlines various stages of portfolio decision making and compares optimal precepts to actual household decisions as measured in the data. Topics include participation, risk taking, rebalancing, diversification, value investing and hedging. Do households follows the basic precepts of financial theory? Which households makes the largest mistakes? How costly are deviations from optimal behavior? How do households invests as they get richer? The second part of the course will focus on three key issues: the characterization of households preference for risk, their measurement and determinants. The role of trust in shaping households financial decisions and the relation with financial intermediaries; and finally the role and working of financial advice, investigating who relies on advice, why they do and whether advice is rewarding or not. .

Content

  • Participation and diversification: cost of financial mistakes
  • The determinants of financial risk taking
  • Rebalancing and value investing: household sophistication and wealth
  • Understanding households preferences for risk
  • Trust in finance and household behavior
  • Financial advice

Professor

Paolo Sodini
Professor of Finance Stockholm School of Economics

Luigi Guiso
Axa Professor of Household Finance
Einaudi Institute for Economics and Finance

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