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PE 18-19: Blok: Asset-Allocatie

Event Description

Wist je dat je individuele blokken van de VU-VBA Investment Management opleiding kan volgen zonder de verplichting van het gehele programma te doen?


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

This module contains seven courses. 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 into 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 backtesting methods that analyze 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 backtesting- and a factor investing research assignment.
  • A good understanding of dynamic portfolio theory. Knowledge and insight in the way economic predictions are prepared. Insight into 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, except course seven,  contain a digital part and a classroom meeting. The digital part is placed on a website. You will get information in a separate document "Algemene info over inloggen…..". The digital part of each course consists of 7-8 lectures. Each lecture contains a video and a set of questions, mainly in the form of multiple-choice questions. These questions refer to the content of the lecture. During some videos, questions are also asked. All courses end with an exam and an assignment. The exam contains a set of questions to test your knowledge and understanding of the material in the course.  After each course, there is a (non-obligatory) assignment where you can apply the content of the course to an investment problem. We will make these assignments during the classroom meetings. If you have finished the videos and the exam 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 courseware of MIT:


In this course -as a part of the final exam – a group assignment should be made. Each assignment should be written in a report. This report will be evaluated and graded by the lecturer. This grade is part of the examination of this course. The deadline for the assignment is one week before the last classroom meeting.


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




Dinsdag 22 januari


Forum 2

Prof.dr. T. Steenkamp


Dinsdag 29 januari


Forum 2

​Prof.dr. T. Steenkamp


Dinsdag 5 februari


Forum 2

Prof.dr. T. Steenkamp


Dinsdag 19 februari


Forum 2

Prof.dr. T. Steenkamp


Dinsdag 26 februari


Forum 2

Prof.dr. T. Steenkamp


Dinsdag 5 maart


Forum 2

Prof.dr. T. Steenkamp


Dinsdag 12 maart


Forum 2

Prof.dr. T. Steenkamp

Tentamen Asset-Allocatie: vrijdag 30 maart 2019,  herkansing maandag 17 juni 2019

Event Type

Society; Educational

Education Topic


Start Time

22-1-2019 19:00

End Time

22-1-2019 22:00





Event Country


Event Region


Location Info

Vrije Universiteit FEWEB
De Boelelaan 1105
1081 HV Amsterdam


Prof. dr. T. Steenkamp

CE Credits


SER Credit




Member Price

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

Non-Member Price


Candidate Price



​Heb je belangstelling voor dit blok of wil je meer informatie neem dan contact op met



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