TTh 1:30pm - 3:20pm
CFRM 503 B, CFRM 503 D, CFRM 503 C
Ryan Francis Donnelly
Covers long-only and long-short portfolio optimization with real-world constraints and costs using industrial strength optimization software; classical mean-variance and modern mean-versus downside risk optimization for dealing with fat-tailed skewed asset returns; optimization and risk analysis with factor models; and equity, mixed asset class, and fund-of-hedge portfolios. Prerequisite: either CFRM 501 and CFRM 502, or permission of instructor. Offered: S.
August 2, 2019 - 9:00pm