Course Number
555.647
Next Offered
Spring 2026
Primary Program
Location
Online
Course Format
Online - Asynchronous

This course focuses on modern quantitative portfolio theory, models, and analysis. Topics include intertemporal approaches to modeling and optimizing asset selection and asset allocation; benchmarks (indexes), performance assessment (including Sharpe, Treynor, and Jenson ratios) and performance attribution; immunization theorems; alpha-beta separation in management, performance measurement, and attribution; Replicating Benchmark Index (RBI) strategies using cash securities/derivatives; Liability-Driven Investment (LDI); and the taxonomy and techniques of strategies for traditional management (Passive, Quasi-Passive [Indexing] Semi-Active [Immunization & Dedicated] Active [Scenario, Relative Value, Total Return and Optimization]). In addition, risk management and hedging techniques are also addressed. Course Note(s): This course is the same as EN.553.647 offered through the full-time Applied Mathematics & Statistics department for the residence Master of Science in Engineering in Financial Mathematics.

Course Offerings

Open

Quantitative Portfolio Theory & Performance Analysis

555.647.81
01/20/2026 - 05/05/2026
Semester
Spring 2026
Course Format
Online - Asynchronous
Location
Online
Cost
$5,455.00
Course Materials
Open

Quantitative Portfolio Theory & Performance Analysis

555.647.82
01/20/2026 - 05/05/2026
Semester
Spring 2026
Course Format
Online - Asynchronous
Location
Online
Cost
$5,455.00
Course Materials