Professional Portfolio Selection Techniques: From Markowitz to Innovative Engineering
Antonella Sabatini
Enrollment limited: first come, first served
Limited to 100 participants.
Participants welcome at individual sessions (series)
Prereq: Students encouraged to attend all sessions; not mandatory
Reviews most important & widely used state-of-the-art Portfolio Selection Techniques, as used by capital firm wealth management institutions as well as for a personal financial portfolio. Introduces innovative methodologies, including the GAM model as a tactical asset allocation technique, with working examples. Gentle introduction to the subject, specifically targeted at undergraduates in Economics, EECS and other fields with interest in quantitative finance, economics and management, with emphasis on innovation and research
Pizza and beverages offered at last class.
Contact: Matthew Goldstein, austein@mit.edu
Cosponsor: Electrical Engineering and Computer Science
Introduction to Portfolio Management Techniques Part I
Antonella Sabatini
Review of the most important & widely used state-of-the-art Portfolio Selection Techniques. Targeted at people with no knowledge of portfolio management and investment. Process of portfolio construction - Asset allocation: strategic asset allocation; tactical asset allocation. Portfolio
Optimization, Markovitz' model, Black & Litterman (B&L) model.
Tue Jan 19, 12-01:30pm, 4-237
Introduction to Portfolio Management Techniques Part 2
Antonella Sabatini
Conclusion of the theory presented in first session. Working examples of B&L in Excel and/or Matlab. Lab session.
Wed Jan 20, 12-01:30pm, 4-237
Introduction to the GAM Model Part 1
Antonella Sabatini
The GAM Tactical Asset Allocation model will be presented. Quick review of PID feedback control theory. Prereq: having taken 18.03, 8.02, 6.003, and material covered in first two sessions helpful.
Thu Jan 21, 12-01:30pm, 4-237
Introduction to the GAM Model Part 2
Antonella Sabatini
Conclusion of the theory presented in third session. Working example of the GAM model in Excel. Attendees are welcome to bring their own portfolio of securities for a practical application (contact Antonella Sabatini for further
info: asabatin@mit.edu). Lab Session. Pizza and beverages
Fri Jan 22, 12-01:30pm, 4-237
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