International Portfolio Management
30 videos
5 tests
Certificate of completion
Materials available upon enrollment
Курс находится на доработке и временно не продается
Our course explains how today's portfolio management industry differs from the Harry Markowitz model and how to master it on your own using the Mythbusters' method and R project as your home financial laboratory
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About the course
The course is designed in English to help students understand the international financial language, navigate the functionality of Bloomberg and RStudio programs and operate with terms. Not sure in your English? All videos of the course also contain Russian subtitles.
You will know
  • the most advanced portfolio management techniques to be used within active, passive and semi-active approaches to investments
  • approaches to conducting empirical experiments and backtests
  • ways to assess the effectiveness of various approaches in portfolio management
You will learn
  • how to understand modern terminology, mathematical notation and R language listings
  • how to use Bloomberg functionality of portfolio optimization and analysis
  • how to understand both scientific and professional literature on portfolio management
Who is the course for?
Masters in Finance, Engineering, Mathematical Disciplines

"Advanced" bachelors of
2–4 years of study

Professionals who want
to upgrade their skills

Programmers wishing to qualify in the investment industry

How to start?
Sign up
Within a day after payment you will receive all necessary instructions
Watch video lectures
Go through the course, watch the videos and additional materials. In the course there are no strict deadlines: you can choose a comfortable pace
Decide if you need a certificate
Complete the tests so you can get the certificate
What do you get?
Video lectures and materials
Open access to all lectures and questions for self-examination
If you have technical difficulties, our staff will help you
Receive a personal certificate of Lektorium after completing the course tasks successfully
Course program
Week 1. Users, Universes and Industry
  • Big Picture
  • Model of the User
  • Instruments
  • The Industry
  • Factor Philosophy
  • The Future of the Industry
Week 2. Assessing managers and algorithms
  • Brinson–Hood–Beebower Study
  • Fundamental Law of Investing
  • Performance Ratios
  • Holdings-based attribution
  • Returns-based attribution
  • Backtests
Week 3. Asset allocation in real and imaginary world
  • Allocation Algorithms
  • Markowitz and beyond
  • Drawbacks of MVO
  • Robust inputs
  • Optimization in the Real World
Week 4. Advanced methods
  • Black–Litterman approach
  • Portfolios from Sorts
  • Scenarios vs. Optimization
  • Copula opinion pooling
  • Benchmarking
Week 5. Information sets and global portfolios
  • Indexation
  • Data-driven active investments
  • Theory-driven active investments: technical theories
  • Theory-driven active investments: fundamental theories
  • Hedge Funds
  • Sector Rotation
  • Tilted Allocation / Smart Beta
  • Managing Alpha
Lecture examples
1.1. Big Picture
1.6 The Future of the Industry
PhD in Economics. Scientific interests: portfolio models; econophysics, financial markets and complexity; asset pricing and volatility modelling; rationality of investment managers and analysts; green economics; applications of data envelopment analysis in economics, management and finance
Alexander Didenko
The Financial University under the Government of the Russian Federation
The Financial University
Course Details
Duration of the course
5 weeks
Lektorium and The Financial University under the Government of the Russian Federation
Click to order
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