Forecasting of Asset Prices and Portfolio Design

4 units · Undergraduate upper division (100-199)

Lecture, three hours; discussion, one hour. Requisites: courses 41, 102, 103, 103L, or consent of instructor. Enforced corequisite: course 123L. Preparation: familiarity with use of spreadsheets, such as Excel. Highly recommended: coding basics. Study of main theoretical models of exchange rates, stocks and bonds, and how to make real-time forecasts by applying such models to real-world data. Students learn statistical tests to evaluate accuracy of forecasts, and how to assess the risk-reward trade-offs of portfolios. Analysis of central bank announcements and newspaper articles about financial markets. Students gain applied research and presentation skills. P/NP or letter grading.