Finance & Insurance
FINA 6339: Quantitative Portfolio Management
Lecture - 3 credits
- Offers an introduction to portfolio management with a focus on quantitative methods.
- Major topics include portfolio construction, revision, and performance measurement.
- Examines portfolio construction using constrained mean-variance optimization, as well as performance evaluation using factor models such as the Fama-French three-factor model.
- Additional topics include the effects of diversification on risk reduction and the costs of inflation, taxes, and transaction costs on management of fixed-income and equity security portfolios.
- Also covers quantitative approaches to manage specific sources of risk.
- Students employ historical data to construct backtests to assess the performance of various portfolio strategies.
Offers an introduction to portfolio management with a focus on quantitative methods. Show more.