2023-2024 Graduate Catalog

FN 907F/908F Portfolio Management

This course provides an advanced treatment of the theory and practice of modern portfolio management. Topics include quantitative concepts, portfolio analysis, capital asset pricing theory, performance measurement, efficient market hypothesis, portfolio management process, use of derivative securities, ethical and legal considerations, and professional standards. The course will also provide students with a concise introduction to recent results on optimal dynamic consumption-investment problems. Lectures will also cover standard mean-variance theory, dynamic asset allocation, asset-liability management, and lifecycle finance. The focus of this course is to present a financial engineering approach to dynamic asset allocation problems of institutional investors such as pension funds, mutual funds, hedge funds, and sovereign wealth funds. Numerical methods for implementation of asset allocation models will be presented.

Credits

3

Prerequisite

FN 902 Investment & Asset Pricing, FN 904 Quantitative Research Methods II (Financial Econometrics), and FN 912 Empirical Methods in Finance