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IESEG School of Management ( IÉSEG )

Code Cours :



Niveau Année de formation Période Langue d'enseignement 
Professeur(s) responsable(s)J.LEFEBVRE
Intervenant(s)Xavier TAVARD

Pré requis


Objectifs du cours

- Explain the central role of the asset allocation within the investment process
- Design a consistent and client-specific strategic asset allocation for the long-run using the Mean-variance Analysis framework. See limitations of the approach and avoid frequent pitfalls when collecting and manipulating historical data
- Formulate long-term expectations about returns for major asset classes, relating asset pricing models to macroeconomic factors
- Identify phases of the business cycle which are commonly supportive to each asset classes
- Exploit the benefit of a geographical, sector or style segmentation, especially when managing a global and diversified portfolio

Contenu du cours

Empirical surveys periodically highlight the dominance of the asset class allocation as a factor of differentiation and performance among diversified mutual funds over the long-run, far ahead of other investment skills such as stock picking or market timing. Indeed, long-term investors can achieve robust performances just by focusing on the optimal portfolio allocation among asset classes.
Based on a practical case study and extending the CAPM theory, we will see how to make and justify recommendations to clients for long-term periods and how tactically adjust the allocation strategy to grab positive influences of the business cycle on each specific asset class.
The course will explore how globalization and the emergence of some foreign economies affects risk premiums. It will also examine the investment implications of taking non-traditional asset allocation approaches (investing in alternative markets, adopting a sector approach…).

Modalités d'enseignement

Organisation du cours

TypeNombre d'heuresRemarques
Face to face
Interactive class8,00  
Tutorials8,00   Using Bloomberg terminals and Excel worksheets
Independent study
Group Project15,00  
Estimated personal workload10,00  
Charge de travail globale de l'étudiant41,00  

Méthodes pédagogiques

  • Interactive class
  • Case study


The students will be assessed on a project work involving the entire examination of a client situation, and the developing of an appropriate strategy for the long-run applying methodology and collecting information to properly convince the client.

Type de ContrôleDuréeNombrePondération
Continuous assessment
Group Project0,00070,00
Written Report0,00020,00
TOTAL     100,00


  • Global Asset Allocation - New Methods and Applications- Zimmerman/Drobetz/Oertmann -

  • Global Asset Allocation - A survey of the world's top investment strategies - Farber -

  • Strategic Asset Allocation - White Paper - Lyxor - Roncali -

* Informations non contractuelles et pouvant être soumises à modification
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