Quantitative Portfolio Management

Catalog description

This course focuses on the quantitative foundations of portfolio management . It teaches the fundamental mathematical models such as the Markowitz, CAPM, and the Merton investment-consumption models, and discusses the issues related to the implementation of these models in practice to different types of portfolios. Finally, it also introduces some common portfolio construction and rebalancing techniques. | Prerequisites: FRE-GY 6083 and Matriculation into a master or doctoral program