COMM 475 - Investment Policy

This course provides tools for the portfolio construction process, beginning with establishing objectives, whether for an individual investor or an institutional investor. Given the objective, we demonstrate techniques to set a strategic allocation of funds across broad asset classes. We then look at dynamic, tactical strategies that may be added on to the strategic decision and finally, determine how to assess the success of our strategies in meeting our objectives.

Learning objectives

Upon successful completion of this course, students will be able to:

• construct and use a multi-risk factor model of asset returns.
• use Mean-Variance analysis to set an individual’s portfolio allocation.
• use an asset-liability model to construct an institution’s portfolio allocation.
• understand the basic techniques of Tactical Asset Allocation.
• understand the basic techniques of Insured Asset Allocation.
• assess the performance of a portfolio given its objectives.

Prerequisite: COMM 371.