Introduction
Starting with the debate about efficient markets (Nobel price 2013), this course examines asset allocation strategies in various asset classes, such as equities, fixed income, and currencies. After an overview of the active portfolio management industry (hedge funds and mutual funds), practical issues related to trading, performance measurement, and liquidity risk management, the course will focus on different asset allocation strategies. Students will learn to evaluate these strategies in terms of their risk-return characteristics and test if the returns are challenging the efficient market hypothesis. The course uses real data to illustrate the trading strategies and students will learn the empirical methods for analyzing trading strategies.