Investments

Catalog description

The course provides the student with an intense overview of the cannon of quantitative techniques used throughout the investment industry with particular emphasis on portfolio construction. The course combines seminal theoretical insights and practical implementation techniques pertaining to the risk/reward framework, efficient security selection and optimal portfolio construction. Work including the capital asset pricing model and extensions, variance/covariance portfolio optimization, APT, and others based on the works of Markowitz, Sharpe, Treynor, and Ross and others and their corresponding quantitative implementations will all be considered. Standard use of Excel, particularly as required in larger scale optimization, is required. The course shows students how to think about the risks and rewards of different securities investments and to demonstrate related investment management techniques. The successful student will be well-equipped to make immediate and meaningful professional contributions as buy-side or sell-side institutional investors. Prerequisite(s): FIN 5751 .