Investment Strategies

Catalog description

The class describes some of the main strategies used by hedge funds and provides a methodology to analyze them. In class and through exercises, the strategies will be illustrated using real data and students will learn to use "back testing" to evaluate a strategy. Throughout the semester, we will discuss the economics underlying these strategies and we will analyze why certain strategies might work and why others might not. The class also covers institutional issues related to short selling, liquidity, and performance measurement. The class is fairly quantitative. As a result of the advanced techniques used in state-of-the-art hedge funds, the class requires the students to work hard, analyze and manipulate real data, and use mathematical modeling. Prereq: For Master of Finance students in Shanghai, China