Course description:

The primary objective of the course is to study the theory and empirical evidence relevant for investing, particularly in the context of portfolio management. The major topics will include: (1) security markets and the investment industry, (2) optimal portfolio selection, (3) the relation between risk and return, (4) market efficiency. In one way or another, the course is geared towards the understanding and implementation of “modern portfolio theory,” which is a general approach for maximizing the expected return of a portfolio given a certain amount of risk. This approach is the basis of virtually all quant investing strategies and is widely used by traditional portfolio managers as well.

A secondary objective is to prepare you to do quantitative and statistical analysis in a broad range of settings. The majority of the course will be spent studying and testing mathematical models. Regression analysis is a tool that will be used throughout the course, and my goal is for you to become proficient in its use and interpretation