Course Detail

Advanced Investments (35150)

Course Description by Faculty

  • Nagel, Stefan
  • Content

    This course covers advanced topics in investments from a macro perspective. We consider the problem of dynamic asset allocation across broad asset classes such as global equities, corporate and sovereign bonds, private equity, and hedging instruments. We will analyze the macro risk factors such as economic growth, inflation, monetary policy, macro investor sentiment that are the drivers of returns at this aggregate level. Building an asset allocation strategy requires an understanding of the empirical dynamics of these risks and of the returns that investors can expect to earn for bearing these risks. We will use empirical techniques, including return forecasting regressions, shrinkage estimation, and out-of-sample evaluation methods to shed light on these empirical dynamics. Furthermore, we will see how data from investor surveys and on investor flows can be used to assess the state of investor sentiment. To digest the empirical evidence, we will build on the mean-variance portfolio choice framework that you encountered in your introductory investments class to analyze risk and return at long horizons, tactical portfolio rebalancing, leverage, short selling, and market equilibrium. We will also evaluate practical rule-of-thumb approaches such as risk parity and naive diversification strategies. After exploring general principles, we will take a more detailed look at option strategies and volatility-linked products; interest rates and monetary policy; inflation risk and inflation-protected instruments; bubbly assets (meme stocks, crypto currencies, gold); and private equity. 

    • Lectures

    • Discussion

    • Case Studies

    • Group Projects

  • Prerequisites

    Business 35000 and 41000 (or 41100) are strict prerequisites for this course. Students must be comfortable with statistics, regression analysis, microeconomics, basic matrix algebra, calculus, and fundamental concepts of investments such as mean-variance analysis in portfolio choice, CAPM, bond valuation, option payoffs, and Black-Scholes. 

    • Strict Prerequisite

  • Materials

    There is no required textbook. Detailed lecture notes and slides will be made available on Canvas. Readings and supplementary materials will be made available on Canvas as well. 


    • Canvas Site Available

  • Grades

    Based on several homework problem sets, quizzes, a mid-term exam, and a final project. 

    • Graded homework assignments

    • Graded attendance/participation

    Assessment & Testing
    • Quizzes

    • Midterm

    • Final Project

    • No auditors

  • No Syllabus Available
  • Winter 2023Section: 35150-01W 8:30AM-11:30AMHarper CenterC05In-Person Only
  • Winter 2023Section: 35150-81W 6:00PM-9:00PMGleacher Center204In-Person Only
Description and/or course criteria last updated: June 24 2022