Advanced Investment Theory and Applications

(3 Credits)

This course covers a wide range theoretical and practical issues that arise in the management of equity and fixed income portfolios, including the classical (Markowitz) foundations of mean-variance optimization, the use of constraints, risk budgeting, robust (outlier-resistant) optimization, tail risk aware optimization, the estimation of expected returns, and the measurement and monitoring of portfolio performance using ideas from statistical process control. It will also require the use of Bloomberg’s PORT optimization tool to optimize, as well as to simulate the risk and return of, large portfolios. | Prerequisite: FRE-GY 6083 , FRE-GY 6103 and Matriculation into a master or doctoral program