As every year, Ángel León, professor of the University of Alacant teaches a 15 hours seminar on Asset Allocation during the second year of the master.

Part 1: Some extensions on the traditional portfolio election 

1. Introduction.
2. Limitations on the mean-variance framework of portfolio optimization.
3. Lapse risk and portfolio selection.
4. Portfolio optimization with deficit constraints.
5. Estimation error.
6. Portfolio rebalancing

Appendix

• A1. Efficient frontier.
• A2. Portfolio optimization under the mean-variance framework.

Part 2: Portfolio performance measurements

1. Traditional measurements: Sharpe ratio, Reward-to-volatility ratio, Jensen’s alpha, etc.
2. Downside risk measurements: Sortino ratio and Value at Risk (VaR). 
3. Sharpe ratio statistics.
4. Risks on the performance of the Sharpe ratio for hedge fund.
5. Omega performance measurement for hedge fund.

Part 3: Market timing and active management.

1. Market timing and asset selection An example.
2. AP Decomposition.
3. Mean reversion and momentum strategies.
4. Stop-loss policy.
5. Contrary negotiation strategy.