「人大汉青•实务讲堂」徐小鹏| Lectures on Asset Allocation

(汉青经济与金融高级研究院发布于:2019-12-03 09:21:14)



Lectures on Asset Allocation


第一讲

Strategic Allocation

2019年12月10日(周二)

8:30-11:30

This lecture will cover strategic asset allocation, based on capital market assumptions about views on return, volatility and correlation among asset classes in the global. An investor should choose his/her own strategic asset allocation, depending on his/her investment objective and risk tolerance. Differently put, an investor should balance expected return with risk. However, most investors will deviate from pre-specified strategic asset allocations because they are emotional. Especially, they would panic by pulling out completely from the equity market when the stock market went into a bear territory.


第二讲

Factor Analysis and Performance Attribution

2019年12月12日(周四)

14:00-17:00

This lecture will discuss Fama-French factor analysis of equity returns. The Fama-French three-factor (market, size and value) model is an invaluable tool for asset allocation and portfolio analysis. Relatedly, it will introduce performance evaluation and attribution of the portfolio return. Investors can make informed decision about their investments only through a robust evaluation of investment performance and a detailed analysis of the source, e.g., asset allocation and stock picking, of the portfolio return.


第三讲

Back-Testing of Investment Strategies

2019年12月14日(周六)

8:30-11:30

This lecture will back test various investment strategies, including strategies recommended by financial gurus and momentum strategies. These strategies will be benchmarked with the traditional strategies to evaluate their relative performance. The back-testing exercise tries to bring home a key point that asset allocation is vital to any successful investment strategy in the long run.



主讲人

徐小鹏先生,美国富国银行资产管理部的量化分析师,曾就学于中国人民大学中美联合培养经济学硕士项目福特班,后于美国加州大学柏克利分校获经济学博士。徐先生的研究领域涵盖博弈论、产业组织、国际金融及金融市场,他曾在经济学杂志发表近十篇文章。

他曾任美国联邦储蓄保险公司高级督察员,负责核准大型银行及保险公司的风险模型。他现为美国富国银行资产管理部的量化分析师主要为客户尤其是高资产客户提供资产配置咨询,同时也从事投资策略及投资业绩方面的研究。

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【讲座语言:中文】


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