Winter 2025
Meeting:
TTh 11:00am - 12:20pm / ECE 037
SLN:
12080
Section Type:
Lecture
Joint Sections:
CFRM 503 A , CFRM 503 C
Instructor:
FOR CAMPUS MS STUDENTS ONLY
Catalog Description:
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.
Credits:
4.0
Status:
Active
Last updated:
March 2, 2025 - 2:00 pm