Advanced Portfolio Management
Insights into the nuances of portfolio optimization and performance evaluation.
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Overview
Learning outcomes
Key Topics
Schedule
Who is this Course for?
Admissions
Fees
FAQ
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Course overview
This course covers the theory and practice of advanced portfolio management. Students will learn to formulate and solve portfolio choice problems with a focus on the practical challenges of taking optimization theory to the data. In particular, they will learn how to incorporate downside risk in their portfolio decisions, how to deal with estimation error in the inputs to their models, how to exploit return predictability for portfolio decisions combining big data with machine learning methods, and how to use factor models in portfolio decisions.
Advanced portfolio management is relevant today because modern financial markets are increasingly complex, data-intensive, and globally interconnected. Traditional diversification and mean–variance techniques, while foundational, are no longer sufficient to address nonlinear risks, and rapidly changing market dynamics.
This course provides advanced knowledge in portfolio management, emphasizing modern approaches such as downside risk measurement and control, robust optimization, Bayesian methods, and machine learning.
Through hands-on exercises, participants will develop practical expertise in portfolio optimization and data-driven investment strategies.
These are all crucial skills to navigate the challenges of managing portfolios in a rapidly evolving financial landscape.
Faculty
Who is this course for?
This course is designed for:
- Finance Professionals
- Portfolio Managers
- Investment Analysts
- Graduate Students
who want to deepen their understanding of cutting-edge portfolio management techniques. It is particularly suited for those who wish to:
- Develop advanced skills in risk management and portfolio optimization.
- Apply machine learning and big data methods to investment decisions.
- Gain hands-on experience with factor models, optimization exercises, and real-world case studies.
- Prepare for the challenges of managing portfolios in dynamic, complex, and data-driven financial markets.
Learning outcomes
Upon completion of this course, you will:
-
Apply advanced portfolio management concepts beyond traditional theory, including downside risk management, robust optimization, factor models, and the use of big data and machine learning in investment decision-making
-
Utilize analytical tools and software to perform data-driven portfolio analysis, bridging the gap between financial theory and practical implementation
-
Integrate academic and industry insights to develop a comprehensive understanding of contemporary asset management practices, informed by leading research and real-world experience
Key topics for Advanced Portfolio Management course
Take a look at the course outline below.
Course Outline
- Mean-Variance analysis
- Downside risk
- Parameter estimation risk
- Return Predictability and Machine Learning
- Portfolio Optimization with Factor Models
List of References
Here is a list of texts that may help you prepare for the course.
Recommended Texts
- Ang, Andrew. Asset management: A systematic approach to factor investing. Oxford University Press, 2014. (Chapter 14).
- Fabozzi, Frank J., et al. Robust portfolio optimization and management. John Wiley & Sons, 2007.
- Fabozzi, Frank J., Harry M. Markowitz, and Francis Gupta. “Portfolio selection.” Handbook of finance 2 (2008): 3-13. (Chapter 1).
- Giglio, S., Kelly, B., & Xiu, D. (2022). Factor models, machine learning, and asset pricing. Annual Review of Financial Economics, 14(1), 337–368.
- Kelly, Bryan, and Dacheng Xiu. “Financial machine learning.” Foundations and Trends® in Finance 13.3-4 (2023): 205-363. (Chapter 3).
- Rockafellar, R. T., & Uryasev, S. (2001). Conditional value-at-risk for general loss distributions (Research Report #2001-5). University of Florida.
Why Join our Summer School?
All BSE Summer courses are taught to the same high standard as our Master’s programs. Join us to:
Network with like-minded peers
Study in vibrant Barcelona
Learn from world-renowned faculty
Admissions and Requirements
All BSE Summer School applicants must meet the entrance requirements.
Requirements
Summer School applicants normally demonstrate one or more of the following:
- A strong background in Economics or a field closely related to the course topic (Statistics, Law, etc.)
- Postgraduate degree or current Master’s/PhD studies related to the course topic
- Relevant professional experience
Requirements for Advanced Portfolio Management
- A basic understanding of statistics and calculus is required.
- Familiarity with portfolio theory and asset pricing is recommended but not essential.
Schedule
Here is your schedule for this edition of BSE Finance Summer School Advanced Portfolio Management course.
Credit Transfers (ECTS)
Students wishing to do a credit transfer will take an exam during the afternoon session on the last day. The exam will consist of general questions covering the basic contents of the course.
Consult the Summer School Admissions page for more information about this option.
Certificate of Attendance
Participants who attend more than 80% of the course will receive a Certificate of Attendance, free of charge.
Fees
Multiple course discounts are available, consult our fees and discounts to learn more. Fees for courses in other Summer School programs may vary.
* Reduced Fee applies for PhD or Master’s students, Alumni of BSE Master’s programs, and participants who are unemployed.
FAQ
Here are some commonly asked questions by participants. Any further queries, please contact our Admissions Team.
Is accommodation included in the course fee?
Accommodation is not included in the course fee. Participants are responsible for finding accommodation.
Are the sessions recorded?
Sessions will NOT be recorded; however, the materials provided by the professor will be available for a month after the course has finished.
How much does each Summer School course cost?
Fees for each course may vary. Please consult each course page for accurate information.
Are there any discounts available?
Yes, BSE offers a variety of discounts on its Summer School courses. See more information about available discounts or request a personalized discount quote by email.
Can I take more than one course?
Yes! you can combine any of the Summer School courses (schedule permitting). See the full course calendar.
Are there any evening activities during the course?
Yes, a social dinner is held once a week for all participants, it is free to attend.
Mix and match your summer courses!
Remember that you can combine Finance Summer School courses with courses in any of the other BSE Summer School programs (schedule permitting). Maximise your learning this summer and take advantage of our multiple-course discount.
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