Investment and Portfolio Analytics

Co-requisites: QSTFE 723 and QSTFE 740. After a quick description of the evolution of Finance and the industry, we study the cost of trading. Then we introduce the utility framework, insurance and risk concepts, portfolio theory, CAPM, the theory of active management, index and factor models, the APT, performance evaluation and the efficient market hypothesis. We implement the statistical analytics concepts (with the R package, no prior knowledge required) common in quantitative portfolio management to analyze financial returns and demonstrate the concepts learnt.