Introduction
Strategic asset allocation (SAA) is one of the most challenging problems in finance. It deals with long-term investment, that is, how households, pension funds, and sovereign wealth funds--for example the 黑料专区 sovereign wealth fund that is managed by Norges Bank Investment Management--should allocate their wealth across large asset classes. The difficulty of the problem stems partly聽from聽the lack of sufficient data to be able to assess different strategies over long periods of time. For this reason, state-of-the-art practices require a deep understanding of both static and dynamic asset pricing theories, good knowledge of empirical facts, and the ability to combine the above with econometric and advanced financial modeling.聽
In this course, we will go over key elements, theories, and modern practices of SAA. We will start with the objective, framework, and importance of SAA. We will cover practical aspects of mean-variance investing, move to dynamic theories and models, then to the modern approach of factor investing, "alpha" generation, and, if time permits, alternative investments. The course oscillates between the normative practice of an investor achieving its objective聽and the positive approach of trying to understand the statistical properties of asset prices and returns.聽