CFRM 503 C: Asset Allocation and Portfolio Management

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.