Permanente educatie

PE 17-18: Blok: Asset-Allocatie

23 januari 2018

Tijd: 19.00 - 22.00 uur

Vrije Universiteit FEWEB, De Boelelaan 1105, 1081 HV Amsterdam

Coördinator: Prof. dr. T.B.M. Steenkamp


This module contains six courses. Each course consists of seven or eight video presentations (lectures).

In this module, we will give you inside in the theory and practice of asset allocation. Asset-allocation is the division of wealth in broad asset-categories, like stocks, bonds, and cash. In practice the level of detail in the distinction of asset classes will differ. Institutional investors often allocate to asset categories like real estate, hedge funds and commodities. Also, different countries and regions could be distinguished. More recent approaches to asset allocation are also considering underlying factors to the asset categories.


By following this module, you will understand What Asset Allocation is, why we do it, why it is so important and how you do it. We will give insights in the traditional academic approach to asset allocation, expected utility maximization, and the “practical workhorse” in asset allocation, the mean-variance model. We will also introduce alternative asset allocation models like risk parity, factor investing and Black & Litterman. You will be able to make a risk profile and based on this profile to construct your own asset allocation.

We make you familiar with the most important asset owners, like pension funds, sovereign wealth funds and endowments. You will be able to understand the way they allocate assets and can give critical remarks and alternative asset allocation suggestions.


Learning objectives

  • Understanding what asset allocation is, why there is a distinction between strategic, dynamic and tactical asset allocation and the importance of the asset allocation decision for the overall performance. Knowledge and understanding of the most important characteristics of the ultimate asset owners. You can apply and calculate concepts as Permanent Income, Pension liabilities and (endowment) spending rules.
  • A thorough knowledge of utility functions and their characteristics and the academic theory of portfolio allocation. You can apply concepts like absolute- and relative risk aversion, expected utility and certainty equivalent. You will have insight in methods which measures preferences, lottery-questions. You can apply and calculate relative risk aversion based on lottery questions. You will have insight in the way an asset allocation for a DC-pension plan is determined.
  • Knowledge and insight in the mean-variance portfolio theory. You can apply and calculate a mean-variance portfolio with and without currency risk. You understand the main problems with the mean-variance model. You can apply and explain the simulation- and back testing methods that analysis the consequences of estimation risk. You can apply and explain concepts like downside risk, central limit theorem, Bayesian statistics and the Black & Litterman model.
  • A thorough understanding of alternative portfolio construction (asset allocation) models. You have knowledge and insights in the resampling-, risk parity-, All Weather- and Factor Investing models. You can independently conduct a back testing- and a factor investing research assignment.
  • A good understanding of dynamic portfolio theory. Knowledge and insight in the way economic predictions are prepared. Insight in the rebalancing process of asset allocations and the different methods of rebalancing.
  • Knowledge and insight in the theory and practical results of life cycle investments. You can apply a simple lifecycle model and can calculate concepts as an annuity and human capital. You can apply the human capital theory in different situations and for different investors.
  • Understanding Asset & Liability management.


Learning method

All courses start with a pre-test, mainly in the form of multiple choice questions. These questions refer to content in previous courses. During some videos, questions are also asked. All courses end with a post-test, a couple of MC questions referring to the content in that course. The answers on the MC questions are not immediately given, but will be released after a certain date. After each session, you should make an assignment and apply the content of the course to an investment problem. If you have finished the videos and the test questions you can push the button course result and the program will show you if you have passed or not.

In most courses, I try to visualize and apply the theory with the help of Excel. All applications are in the Excel workbook Asset Allocation. It can be of great help to follow the steps in the video yourself on the Excel sheets and try to make the assignments in Excel.



For this module, you need an academic knowledge and think level. You need a basic understanding of mathematics and Excel. To understand the material in this course it will help that you have read some basic Investment material, like the CAPM model and MV-investing in for example:

Bodie Z., A. Kane and A.J. Marcus, Investments, McGraw-Hill, chapters 5 t/m 9.

Basic Excel knowledge, especially the Excel Solver:

Basic knowledge of statistics and mathematics for finance, see the material “PGO-IM Econometrie en Statistiek voor Beleggingsprofessionals”. More advanced video material you can find on the web, an example is the open course ware of MIT:


Exam (March 26, 2018, resit June 18, 2018)

The written exam will take 2 ½ hours and consists of Multiple Choice questions and some open questions. A calculator is essential.



At the end of each course (and the session at the VU), there is an assignment to be made. Each assignment should be written in a short report. This report will be evaluated by the lecturer. The deadline of each assignment is one week after the date the physical meeting has taken place. Adding up, the total of all assignments should have a minimum grade of 5.5. The assignment in this module will be made individually.



  • Andrew Ang, Asset Management, Oxford University Press, 2014.
  • Articles, digitally available on the programm’s website.


Asset - Allocatie


Dinsdag 23 januari


Agora 2

Prof. dr. T. Steenkamp


Dinsdag 30 januari


Agora 2

Prof. dr. T. Steenkamp


Dinsdag 6 februari


Agora 2

Prof. dr. T. Steenkamp


Dinsdag 13 februari


Agora 2

Prof. dr. T. Steenkamp


Dinsdag 20 februari


Agora 2

Prof. dr. T. Steenkamp


Dinsdag 6 maart


Agora 2

Prof. dr. T. Steenkamp


Dinsdag 13 maart


Agora 2

Prof. dr. T. Steenkamp

Tentamen Asset - Allocatie maandag 26 maart 2018, herkansing maandag 18 juni 2018


inclusief tentamen: 30 punten punten


exclusief tentamen: 20 punten punten


De prijs bedraagt 2.800 Euro. Niet inbegrepen zijn de kosten voor verplichte literatuur.

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