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Apr 18, 2024
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2022-2023 Undergraduate and Graduate Bulletin (without addenda) [ARCHIVED CATALOG]
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FRE-GY 6713 Advanced Investment Theory and Applications3 Credits
This course covers a wide range theoretical and practical issues that arise in the management of equity and fixed income portfolios, including the classical (Markowitz) foundations of mean-variance optimization, the use of constraints, risk budgeting, robust (outlier-resistant) optimization, tail risk aware optimization, the estimation of expected returns, and the measurement and monitoring of portfolio performance using ideas from statistical process control. It will also require the use of Bloomberg’s PORT optimization tool to optimize, as well as to simulate the risk and return of, large portfolios.
Prerequisite(s): FRE-GY 6083 , FRE-GY 6103 and Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of Department.
Weekly Lecture Hours: 3
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