|This quantitative course presents advanced material relevant for portfolio managers, extending the material covered in Investments (Business 35000). Topics include the money management industry (mutual funds, pension funds, hedge funds), modern techniques for optimal portfolio selection, liquidity and transaction costs, properties of asset returns, and investment strategies designed to exploit apparent violations of market efficiency. The method of instruction is a combination of case studies and lectures, which include discussion of recent academic research and its practical applications. The course is well suited for second-year MBA students, as well as for first-year students who have taken Investments.|
|CoursePack containing the syllabus and case studies.|
|Based on weekly group assignments, two exams, and class participation. Cannot be taken pass/fail. No auditors.|
|Business 35000 (strict) and 41100. Students can replace Business 41100 with 41000, but they should then expect to work harder. Students are expected to be comfortable applying statistics, basic calculus, and multiple regression analysis, and to be ready to learn additional quantitative techniques in the course.
Description and/or course criteria last updated: 6/11
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