The National Centre for Econometric Research (NCER) will hold a short course on Dynamic Portfolio Selection at QUT, on Wednesday 28 November, 2012.

Everyone is welcome to attend and there is no charge for attendance.

All participants are required to contact the NCER Administration Coordinator for registration.

The course will be held in Z808 at Gardens Point Campus, QUT.

Course Convener

Professor Anthony W. Lynch, Professor of Finance at the Stern School of Business at NYU

Anthony W. Lynch is an Associate Professor of Finance at the Stern School of Business, New York University. He has also visited and taught finance at Columbia University's Graduate School of Business. He has been a Research Associate at the National Bureau of Economic Research since 2002.

Professor Lynch completed his undergraduate studies at the University of Queensland in 1989 earning a Bachelor of Commerce (Honours), a Bachelor of Laws (Honours), and a University Medal. He received his PhD in Finance and Economics from the University of Chicago in 1994.

Professor Lynch teaches the MBA course Foundations of Finance and the Ph.D. courses Finance Theory I and Seminar in Asset Pricing Theory. He has conducted research on a broad range of financial issues, but he has particular expertise in the areas of portfolio allocation, asset pricing and mutual funds. His research has been published in all the major academic finance journals including the Journal of Finance, the Journal of Business, the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis, and the Review of Financial Studies. Professor Lynch's papers have twice been awarded the Glucksman prize for the best research paper in finance by an NYU professor. He has served as a session chair for both the AFA and the WFA Meetings, and he is currently an Associate Editor of the Review of Finance.

Course Summary

Dynamic Portfolio Choice: Theory, Recent Developments, and Future Directions

Focusing on discrete time setting, the lectures will first examine various utility specifications in single- and multi-period settings.  All members of the HARA class of preferences as well as Epstein-Zin preferences will be considered.  The lectures will then examine the dynamic portfolio choice problem faced by a multi-period investor.  Two of the most important solution techniques will be discussed: 1) dynamic programming; and, 2) the Campell-Viceira approximate solution.  The lectures will finish with a discussion of recent developments in the field of dynamic portfolio choice and
promising directions for future research.

Course Times

10 am to 12 pm &
2 pm to 4 pm

Course Notes

Recent Developments in Dynamic Portfolio Choice

Notes from Chapter 7

Notes from Chapter 13

Notes from Chapter 13.3

Enquiries & Registration

For registration please contact the NCER Administration Coordinator:

Angela Fletcher
Queensland University of Technology
Phone: 07 3138 1050