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 and Dedicated], Active [Scenario, Relative Value, Total Return, and Optimization]). In addition, risk management and hedging techniques are addressed.

Course note(s): 

This course is the same as 550.447 offered through the full-time Applied Mathematics and Statistics department for the residence Master of Science in Engineering in Financial Mathematics.

Course instructor(s) :