Professional Portfolio Selection Techniques: From Markowitz to Innovative Engineering
Antonella Sabatini
No enrollment limit, no advance sign up
Participants welcome at individual sessions (series)
Prereq: Students encouraged to attend all sessions; not mandatory
A review of the most important and widely used state-of-the-art Portfolio Selection Techniques will be presented. Such techniques could be used by capital firm wealth management institutions as well as for a personal financial portfolio. An introduction to some innovative methodologies, including the GAM model as a tactical asset allocation technique, will be illustrated and some working examples will be presented. 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. 4-day individual sessions event.
Contact: Antonella Sabatini, as@alum.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 18, Wed Jan 19, 12-01:30pm, 56-154
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 19, 12-01:30pm, 56-154
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 20, 12-01:30pm, 56-154
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 21, 12-01:30pm, 56-154
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