Denis Beaudoin

Founder & CEO, FINALTIS Autres cours :

Arnaud Gihan

Head of iShares Asset Management, BlackRock

Aymeric Kalife

Head of Unit-Linked Guaranteed Products, AXA Group, Adjunct Professor, Université Paris - Dauphine Autres cours :

Stratégies quantitatives d'investissement pour gérer le beta

Les objectifs du cours

L'objectif de ce cours est de présenter des méthodes avancées de stratégies quantitative de gestion du beta.

Plan du cours

Un plan indicatif est le suivant:

Labclasses 1 to 3: Trading Game over 6 weeks (team work)

Session 1: Beta within Portfolio Management industry
LabClass 1: Portfolio Construction under constraints

Session 2: Deep Dive of Delta One instruments: Risk and Pricing of Cash and Derivatives instrument
LabClass 2: Pnl tracking and rebalance after 3 weeks

Session 3: Factor investing in equities
LabClass 3: Presentation of the strategy

Session 4: Factor investing for bonds
LabClass 4: Factor investing for bonds 

Session 5: Factor investing for alternative betas
LabClass 5: Factor investing for alternative betas 

Session 6: Multi-assets portfolio
LabClass 6: Multi-assets portfolio
 

Bibliographie

Ang, A. (2014), Asset Management: A Systematic Approach to Factor Investing, Oxford University Press.
Cochrane, J.H.(2005), Asset Pricing, Revised Edition, Princeton University Press.
Ilmanen, A. (2011), Expected returns, Wiley Finance.
 

Examen

TBA