MTH 9855 Asset Allocation and Portfolio Management

3.0 Hours; 3.0 Credits

The course introduces the quantitative techniques and models commonly used in the asset management industry. The emphasis is on practical aspects of modeling, and specific techniques for portfolio construction and risk management. Topics include classic subjects such as Markowitz’s mean-variance optimization, CAPM and APT models, the Black- Litterman model, as well as modern topics such as cointegration and postmodern portfolio theory.

Prerequisite: MTH 9814, MTH 9831. Co-requisite: MTH 9862