Asset Allocation

In this asset-allocation course, you’ll build on your portfolio-management knowledge by exploring the importance of asset allocation in investing.

Asset Allocation was designed by professors Christopher Geczy and Jules van Binsbergen to equip you with different portfolio strategies and risk-management tools. You’ll analyze the theoretical frameworks of the modern portfolio theory (MPT) and the capital asset-pricing model (CAPM) while exploring how to apply multi-factor asset pricing models. Real-life examples are used to discuss asset-allocation models, long- versus short-term considerations and portfolio attribution analysis.

By the end of this asset-allocation course and online portfolio-management certificate program, you’ll employ allocation models to analyze correlation and volatility in your investments better — so you can ultimately achieve better returns on your investments.

Module 1: Asset Pricing Models Explore the foundational concepts of individual versus professional investors, the capital asset pricing model (CAPM), multi-factor asset-pricing models, and the practical application of mean-variance optimization. This module sets the stage for understanding how different models are used to predict asset prices and assess investment risk.

Module 2: Investment Horizon and Asset-Liability Management This session focuses on the varying investment horizons of different types of investors and the complexities of managing assets in relation to liabilities. It covers the implications of investment horizon on risk and return, the nuances of asset-liability management, and the strategic considerations in balancing long-term obligations with short-term market fluctuations.

Module 3: Strategic Asset Allocation Dive into the methodologies behind strategic asset allocation, diversification strategies, the impact of time-varying volatility and economic policy uncertainty, and the role of risk aversion. This module also examines different models of allocation, such as the 60/40 portfolio, and their practical applications in varying market conditions.

Module 4: Performance-Attribution Analysis This module offers a deep dive into the techniques used to evaluate investment performance. It covers the calculation and interpretation of performance metrics like the Sharpe ratio, the impact of tactical versus strategic allocation, and the role of multi-factor models in performance assessment. Learners will also explore the nuances of adjusted values, understanding how to attribute performance accurately in a complex investment landscape.

By the end of this course, learners will be equipped with the knowledge and skills to apply advanced asset allocation strategies, understand and utilize various asset pricing models, manage asset-liability considerations, and conduct thorough performance attribution analyses. This course is essential for anyone looking to deepen their expertise in investment management and asset allocation.

Access to and a basic understanding of Microsoft Excel is required to complete the final case study project for the Asset Allocation course.

To further leverage the value and impact of this program, we encourage companies to send cross-functional teams of executives to Wharton. We offer group-enrollment benefits to companies sending four or more participants.