Investment Course

Lima, Peru     -     August 20-21, 2008


Listed below are links to various course-related materials, including PowerPoint files containing the course outline and notes for various topics covered during the class, as well as Excel workbooks containing spreadsheets supporting many of the examples and calculations performed in the course.  You will also find Word and PDF documents containing some research articles related to the material covered in the course.  

You can click on the indicated link to download the desired document:


• Course Outline:

          Topic List & Instructor Biographies


• Course Notes:

          Topic 1 - Expected Returns & Measuring the Risk Premium

          Topic 2 - Asset Allocation: Decisions & Strategies

          Topic 3 – Managing Risk & Return in a Long-Term Portfolio

          Topic 4 - Portfolio Risk Analysis

          Topic 5 – Demographic Changes and Economic Growth

          Topic 6 - Portfolio Optimization: Analytical Techniques

          Topic 7 - Portfolio Optimization: Case Studies

          Topic 8 – Market Efficiency & Behavioral Finance: A Brief Overview

          Topic 9 – Evaluation of Portfolio Performance

          Topic 10 – Identifying Superior Active Portfolio Management


• Excel Workbooks:

Topic 1:                U.S. Historical Return Statistics, 1926-2007

                             Black-Litterman Expected Returns

Topic 4:                Portfolio Risk Calculations

Topic 6:                Portfolio Optimization Using Historical Returns

Topic 9:                Performance Measurement Example


 • Research Articles:

T1:     “The Equity Premium” (by E. Fama and K. French)

          “Equity Premia as Low as Three Percent?” (by J. Claus and J. Thomas)

          “What Risk Premium is ‘Normal’?” (by R. Arnott and P. Bernstein)

“The Equity Risk Premium in January 2007: Evidence from the Global CFO Outlook Survey” (by J. Graham & C. Harvey)

T2:     “The Future of Investment Management” (by G. Brinson)

          “Does Asset Allocation Influence Portfolio Performance?: Evidence from University Endowment Funds” (by K. Brown, L. Garlappi, and C. Tiu)

T4:     “Risk as a History of Ideas” (by P. Bernstein)

T6:     “A Step-by-Step Guide to the Black-Litterman Model” (by T. Idzorek)

“Quantifying the Cost of Investment Limits for Chilean Pension Funds” (by S. Bernstein and R. Chumacero)

T7:     “Asset Allocation in a Downside Risk Framework” (by V. Harlow)

T8:     “The Demographics of Overconfidence” (by G. Bhandari and R. Deaves)

“Are Investors Reluctant to Realize Their Losses?” (by T. Odean)

“Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry” (by K. Brown, V. Harlow, and L. Starks)

T9:     “Performance Measurement Without Benchmarks: An Evaluation of Mutual Fund Returns,” (by M. Grinblatt and S. Titman)

T10:   “The Right Answer to the Wrong Question: Identifying Superior Active Management” (by V. Harlow and K. Brown)