Portfolio and Risk Management

Academicians from the University of Geneva and professionals from UBS aids us to gain an understanding of the theory underlying optimal portfolio construction, the different ways portfolios are actually built in practice and how to measure and manage the risk of portfolios. We start by studying how the imperfect correlation between assets leads to diversified and optimal portfolios as well as the consequences in terms of asset pricing. Then we will learn how to shape an investor's profile and build an adequate portfolio by combining SAA and TAA. Finally, we will look into risks, different facest and appropriate tools and techniques to measure it, manage it and hedge it.

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1.Module-1

    I. Introduction

        - Common mistakes

        - Distribution of returns

        - Risk-return tradeoff (UBS)

2. Module-2 

    I. Modern Portfolio Theory

        - Impact of correlation - benefits and diversification

        - Reaching an efficient frontier (UBS) 

        - Efficient frontier with a risk-free asset

        - International diversification

        - Country vs industry diversitication

        - Do investors diversify internationally (UBS)

        - Impact of constraints on optimal portfolios

        - Pitfalls of MPT

    II. Capital Asset Pricing Model

        - Two fund separation theorem

        - CAPM

3. Module-3

    I. Investor's goals and needs

        - Effect of age and wealth on investment profile

        - Path from investor's profile to optimal investment strategy (UBS)

    II. Strategic Asset Allocation

        - Strategic Asset Allocation

        - Asset allocation vs stock picking (UBS)

        - Rebalancing portfolio

    III. Tactical Asset Allocation

        -  Tactical Asset Allocation and market timing

        - How TAA depends on macroeconomic fundamentals (UBS)

        - How to combine TAA and SAA (UBS)

4. Module-4

    I. Defining risk

        - Defining forwards and options

        - Risk as volatility

        - Illiquidity as risk (UBS)

        - Currency risk

    II. Managing risk

        - Value-at-Risk

        - Expected shortfall

        - Banking regulation and Basel regulations

    III. Hedging

        - Hedging against market falls using options

        - Hedging against market falls using forwards