Portfolio OptimizationOverview
Prof. Dr. Philipp Baumann
University of Bern
Spring 2020(as of February 11, 2020)
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1 Lecturers
2 Course
3 Exam
4 Content
5 Literature
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Curriculum VitaeContact
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CV Philipp Baumann
Born in Bern
2009: MSc in Business Administration, University of Bern
2013: PhD in Business Administration, University of Bern
2013–14: Research Scholar at IEOR Department, UC Berkeley
2014–15: Postdoc at IEOR Department, UC Berkeley
Since 2015: Professor in Quantitative Methods/OperationsResearch, University of Bern
Research:
Mathematical programming in finance and operationsMachine learning/Data mining
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Curriculum VitaeContact
CV Tamara Bigler
Born in Vinelz
2018: MSc in Business Administration, University of Bern andCopenhagen Business School
2016–18: Junior assistant in Quantitative Methods, Universityof Bern
Since 2018: Teaching assistant and PhD student inQuantitative Methods/Operations Research, University ofBern
Research:
Data mining (feature selection)Combinatorial optimization
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Curriculum VitaeContact
Contact
Department of BusinessAdministration
Chair in Quantitative Methods
Engehaldenstr. 4,3012 Bern, office 226 (TB)Schutzenmattstr. 14,3012 Bern, office 008 (PB)
E-Mail:[email protected]@pqm.unibe.ch
Website: http://www.pqm.unibe.ch
Linie 11 Henkerbrünnli
Bahnhof-parking
Parking Schützenmatte
FusswegLänggasse
T i e f e n a u s t r a s s e
N e u b r ü c k s t r a s s e
E n g e h a l d e n s t r a s s e
S c
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Betriebswirtschaftslehre
Engehaldestr. 4
Engehaldestr. 8
Informatik und angew. Mathematik IAM
Neubrückstr. 10
Schützen-mattstr. 14
Bibliothek Informatik IAM /Cafeteria
Betriebswirtschaftslehre
Wirtschaftsinformatik
Uni Engehalde
Einstellhalle
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0 10 20
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General informationComponents of course
Outline
1 Lecturers
2 CourseGeneral informationComponents of course
3 Exam
4 Content
5 Literature
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General informationComponents of course
Course in context of master studies
2015 course scheme: course can be selected as
part of the Management Science module orelective course
2007 course scheme: course is
part of the choice area for MSc BA and MSc B&Ec studentsnot part of any focus area
No registration required for participation
Required knowledge: completion of Bachelor degree inBusiness Administration or Economics
Introduction to MathematicsIntroduction to StatisticsQuantitative Methods in Business Administration I
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General informationComponents of course
Lecture
Time: Tuesday, 10:15am to 12:00pm
Location: main building, room 114
Start: Feb 18, 2020
Lecture notes
Download: ILIASPassword will be provided on Feb 18 during the lecture
Lecture includes
ExplanationsExamplesDiscussion of case studies
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General informationComponents of course
Exercises
Time: Wednesday, 10:15am to 12:00pm
Location: main building, room 115
Download of exercises: ILIAS
Types of exercises
Review of the lecture contentFormulation of optimization problemsManual application of discussed methodsApplication of discussed methods using Software Python
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General informationComponents of course
Project
Available on ILIAS on Tuesday Mar 31
Project is conducted in groups of two students
Access to Software Python required
Project tutorial: Wednesday Apr 8, 2020 (instead of exercises)
Deadline for submission of solution: Wednesday Apr 22, 2020
Grading: 8 extra points can be achieved
Discussion of solutions on Wednesday Apr 29
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OverviewDatesExam additional information
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1 Lecturers
2 Course
3 ExamOverviewDatesExam additional information
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Overview exam
6 ECTS
Written exam
Exam will cover lecture and exercises
Permitted aids:
Non-programmable hand-held calculatorFormulary (will be distributed before the exam)List of symbols (will be distributed before the exam)
Grading
Maximal attainable score in exam: 90 pointsMaximal attainable score in project: 8 pointsAt most 90 points required for highest gradeProject points can be credited to exams in Jun 2020 and Sep2020
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Dates for final exam
Dates (duration of final exam is 90 minutes)
1 Tuesday Jun 2, 2020 from 10:15am to 11:45am2 Tuesday Sep 8, 2020 from 10:15am to 11:45am
Location: will be announced on ILIAS after closing date forexam deregistration
Discussion of past exam questions in lecture on Tuesday May19, 2020
Q&A in lecture on Tuesday May 26, 2020
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OverviewDatesExam additional information
Final exam: additional information
Exam on Jun 2, 2020
Closing date registration May 26, 2020Closing date deregistration May 31, 2020First date to access graded exam Jun 10, 2020 (2pm–3pm)Second date to access graded exam Jun 15, 2020 (9am–10am)
Exam on Sep 8, 2020
Closing date registration Sep 1, 2020Closing date deregistration Sep 6, 2020First date to access graded exam Sep 15, 2020 (11am–12pm)Second date to access graded exam Sep 25, 2020 (4pm–5pm)
Registration and deregistration only via KSL
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3 Exam
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Structure
1 Basics of optimization
2 Portfolio selection
Mean-variance model/Mean-absolute deviation modelMinimax modelValue-at-risk model/Conditional value-at-risk modelModels for fixed income securities
3 Portfolio management
Practical portfolio constraintsPortfolio rebalancingPortfolio evaluation
4 Index tracking
Basics of market indicesIndexation modelsExchange traded funds
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Learning outcomes I
The students are able to
compute well-known risk measures for equities and fixed-incomesecurities
implement portfolio-selection models in Python and computeoptimal portfolios for real-world data
understand and apply models and methods to optimize fixed-incomeportfolios
extend portfolio-selection models to account for real-worldconstraints such as for example transaction costs
evaluate the performance of portfolios based on quantitativemethods
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Learning outcomes II
The students are able to
implement various rebalancing strategies and discuss their pros andcons
analyze structural properties of market indices
implement index-tracking models in Python and compute optimaltracking portfolios for real-world data
explain the structure and the mechanics of exchange traded funds
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2 Course
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Literature (textbooks)
Zenios (2008): Practical financial optimization: decisionmaking for financial engineers, Blackwell, Cambridge
Luenberger (2013): Investment science, Oxford UniversityPress, New York
McKinney (2017): Python for Data Analysis. O’Reilly
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Literature (papers on portfolio selection)
Markowitz (1952): Portfolio selection. Journal of Finance (7),77–91
Konno Yamazaki (1991): Mean-absolute deviation portfoliooptimization model and its applications to Tokyo stockmarket. Management Science (37), 519–531
Young (1998): A minimax portfolio selection rule with linearprogramming solution. Management Science (44), 673–683
Rockafellar Uryasev (2000): Optimization of conditionalvalue-at-risk. Journal of Risk (2), 21–41
Benati Rizzi (2007): A mixed integer linear programmingformulation of the optimal mean/Value-at-Risk portfolioproblem. European Journal of Operational Research (176),423–434
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Literature (papers on index tracking)
Rudolf Wolter Zimmermann (1999): A linear model fortracking error minimization. Journal of Banking and Finance(23), 85–103
Strub Baumann (2018): Optimal construction and rebalancingof index-tracking portfolios. European Journal of OperationalResearch (264), 370–387
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