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Apr 26, 2024
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2013-2014 Undergraduate and Graduate Catalog (without addenda) [ARCHIVED CATALOG]
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FRE 6711 Investment Theory and Applications1.5 Credits
This course examines in-depth modern portfolio theory and investment selection. It considers the mathematics of portfolio analysis, single-period risk and return measures and the process of optimal portfolio selection. The basic portfolio model is extended to consider alternative risk concepts and multi-period portfolio horizons. Single-factor and multifactor models are discussed. Optimization techniques, such as linear programming and quadratic programming, are applied. The basic portfolio model is extended to explain hedging theory and to build firm-wide risk management models.
Prerequisite(s): FRE 6411 and FRE 6511 and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0
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