We will introduce the concept of tracking error. We will also examine survivorship bias. We will specifically address the question of what the expected performance of major markets will be over the next five to ten years. Comovement, Volatility, Skewness This lecture explores the econometric techniques used for modeling volatilities and correlations. This lecture reviews the state of asset pricing theory, from the simple CAPM to multifactor models, in international finance.
Emphasis is placed on identifying and dymamically modeling risk.
We start with average or unconditional exposure and work our way to more dynamic, time-varying models. Lecture 7 Attributes and Asset Pricing A number of recent research papers have examined the role of attributes and expected returns. In this lecture we develop a framework to link these attributes to expected returns. Now that we have some familiarity with the tools of asset allocation, we now explore the business strategy of asset management. Be sure to read the case.