MW 1:30pm - 3:20pm
CFRM 501 C, CFRM 501 A, CFRM 501 D
Introduction to the mathematical, statistical and financial foundations of investment science. Topics include: utility functions, mean-variance portfolio theory, tail risk measures, factor model types for portfolio construction, classical and robust methods of fitting factor models, and covariance and correlation estimation. Prerequisite: CFRM 425. Offered: A.
May 16, 2019 - 9:00pm