EMBA 2026 · Finance Specialization · S2

Asset ManagementStudy Companion

A complete interactive study guide for the April 20th session with Prof. Ioanid Rosu. Covers all 4 pre-class assignment requirements with visual explainers, interactive charts, and draft answers.

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Pre-Class Assignment Checklist

Case 1 — Harvard Management Company

Mandatory

Case 2 — The Twin Coin Arbitrage

Mandatory

Case 3 — Long-Term Capital Management (A)

Optional

Problem 1 — Options & Option Strategies

Optional

✉️ Submit by email to [email protected] before class · PDF or Word · No AI tools

Session Date
April 20, 2026
Pre-class Due
Before Class
Assignment Weight
30% of Grade
Modules Covered
8 Modules

Study Modules

All Pre-Class Requirements Covered

Each module includes a full case walkthrough, interactive charts, and draft answers ready for personalization.

Mandatory
01

MPT & Harvard Management Company

How HMC constructs its $18B Policy Portfolio using mean-variance optimization across 12 asset classes. Includes full pre-class assignment answers for Case 1.

Diversification & CorrelationEfficient FrontierHMC Policy PortfolioHybrid Investment Model
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Mandatory
02

The Twin Coin Arbitrage

Bill Taylor's crypto arbitrage trade — buying underpriced BlueCoin and shorting overpriced RedCoin — and why a theoretically perfect strategy nearly ends in disaster. Case 2 answers included.

Short Selling MechanicsArbitrage StrategyMargin Calls & Funding RiskShort Squeeze Risk
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Optional
03

Long-Term Capital Management

How a fund run by two Nobel laureates earned billions through bond arbitrage — then lost nearly everything in five weeks. Full case walkthrough and assignment answers.

Convergence ArbitrageLeverage & VaRCrowded TradesSystemic Risk & Fed Bailout
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Optional
04

Options & Derivatives

Calls, puts, strike price sensitivity, and the Buffett debate. Full answers to Problem 1 of the pre-class assignment with interactive payoff charts.

Call & Put OptionsStrike Price SensitivityDerivatives RolesBuffett's WMD Quote
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05

Flashcards & Key Definitions

31 essential definitions across all topics — Portfolio Theory, Arbitrage, Hedge Funds, Options, and Institutions. Browse mode + Quiz mode with progress tracking.

31 Key Terms5 CategoriesQuiz ModeProgress Tracker
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06

Chapter Study Guides

Comprehensive chapter-by-chapter reference for all 4 course topics. Covers core concepts, key formulas, and side-by-side comparative analyses.

Ch.1 Asset Allocation & MPTCh.2 Market EfficiencyCh.3 Investors & PerformanceCh.4 Options Strategies
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07

Riverside Memorial Tool

Interactive MVE optimizer pre-loaded with the Riverside Memorial endowment case. Adjust inputs and see the efficient frontier update live — ready for in-class use.

3-Asset OptimizerConstraint ScenariosLive Efficient FrontierIn-Class Case
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08

Anomalies Data Viewer

95 years of Fama-French data (1926–2020). Explore the Size, Value, and Momentum anomalies with interactive charts, decade breakdowns, and cumulative wealth analysis.

Size EffectValue EffectMomentumFF4 FactorsDecade Analysis
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Course Structure

Four Topics, Six Cases

The session alternates between lectures and group case work, covering the full lifecycle of asset management from theory to practice.

01

Asset Allocation in Theory & Practice

›Riverside Memorial
›Harvard Management Company
02

Market Efficiency & Arbitrage

›Twin Coin Arbitrage
›Porsche & Volkswagen
03

Investors & Performance

›GameStop Short Squeezes
›LTCM (A)
04

Options & Option Strategies

›Speculating with IBM Options

Share with Your Classmates

This study companion covers all pre-class assignment requirements. Share the link so your group can prepare together before the April 20th session.