Global Asset Allocation

The course gives an overview of the central topics in the field of investment and asset-management. In addition to the presented academic theories, concepts and analytical techniques the students are asked to practical apply the pictured concepts. The starting point is a practice-oriented case study taken from an asset and liability management framework of a pension fund. Subsequent the methodical concepts and the institutional framework will be systematically elaborated. Contents of the methodical part are the assessment of pension obligations, main features of portfolios construction, modeling the long-term risk-and-return profiles of major asset classes such as stocks, bonds and real estate as well as the management of exchange rate risks. This part will be accompanied by several exercises and Excel-Case-Studies. The institutional part covers alternative ways of how pension plans can be designed (e.g. return-guarantee), analysis of associated financial opportunities/ risks, economic and legal basic conditions of investment funds, pension funds as well as insurance companies. The last part of the course consists of a case study, which focuses on actual asset management of a pension plan.

Learning objectives

Upon completion of this course, you will be able to:

Model liabilities of (DB/DC) pension plans within an investment framework
Know the objectives of major institutional investors (insurance companies, pension funds, mutual funds)
Know the concepts of strategic, tactical, and dynamic asset allocation
Model return-/risk profiles of stock, bond, and real estate portfolios over short and long-term investment horizons (time diversification)
Specify the optimal strategic asset allocation under shortfall-risk constraints
Construct dynamic asset allocation with downside risk constraints (CPPI)
Know the risk-return profiles of alternative investments (e.g. real estate)
How to manage foreign exchange risk for international investment

Key concepts

Management of Individual / Family Investor Portfolios
Management of Institutional Investor Portfolios
Equity Portfolio Management Strategies
Analysis of Long-Lived Assets
Analysis of Pensions, Stock Compensation, and Other Employee Benefits
Analysis of Global Operations
Types of Alternate Investments and their Characteristic
Real Estate
Tangible Assests with Low Liquidity
Portfolio Concepts
Pension Plans and Employee Benefit Funds
Other Institutional Investors
Mutual Funds, Pooled Funds, and ETFs
Economic Analysis and Setting Capital Market Expectations
Asset Allocation (including Currency Overlay)
Portfolio Construction and Revision

Course materials
Course materials except books will be provided in electronic form.

Language
English

Course fee*
€ 1.900 (fee is exempt from VAT). Goethe Business School students and alumni receive a 20% discount off the regular fee.

Certificate of participation
A GBS certificate of participation is awarded upon completion of the course.

Venue
House of Finance, Goethe University, Theodor-W.-Adorno-Platz 3, 60323 Frankfurt

*Withdrawal and fee refund

In case the course withdrawal request is received two weeks prior to the start of classes, we will retain a withdrawal fee of EUR 50. In case the course withdrawal request is received less than two weeks prior to the start of classes, we will retain 50% of the payment made.

Course format

This course is offered in the part-time Master in Finance program and may be attended on a “no credit” basis by individuals not enrolled in the program. Course participants are visitors who are not responsible for assignments and do not take an exam or earn academic credits. As the number of seats in the course is limited, we recommend to register online early.

Faculty

Prof. Dr. Raimond Maurer

Prof. Dr. Maurer completed his dissertation and habilitation in business administration at the University of Mannheim. Since 2000 he is Professor for Investment, Portfolio Management and Pension Finance at the Finance Department of Goethe University of Frankfurt. His research interests focus on theoretical and empirical studies of asset management by institutional investors, life-time portfolio choice, real estate investments, and pension finance. Raimond Maurer has published four books and more than thirty refereed journal articles. He holds several professional positions at the Society of Actuaries, the Association of Certified International Investment Analysts (ACIIA), and the Pension Research Council at the Wharton School of the University of Pennsylvania.