Investments, Capital Markets, or equivalent course
Applications in Portfolio Optimization
Description / Program
The purpose of the course is to provide students with an applied view of the investment process, especially in the equity space. Before dealing with the more applied topics, we will need to review the theory behind the efficient frontier (Markowitz Theory). We will do extensive use of Excel to develop applications within domains such as the Efficient Frontier, the Treynor-Black Model, the Black-Litterman Approach to Portfolio Optimization, Performance Evaluation, and Factor Investing. The learning objectives of the course are both theoretical and applied. You will be tested on both your understanding of the theories and your ability to apply the theories to real data in Excel. We will stress the realism of the applications.
Learning Method / Style of Lessons
Lectures and Problem Sets with applications in Excel
Final Exam in Computer Room using Excel
Lecture Notes and Reading Material suggested in class.