Quantitative Portfolio Management

3 ch (3C) EL · Undergraduate

Designed to provide a strong foundation of portfolio theory and asset pricing with practical applications to factor investing in quantitative portfolio management. Covers topics of financial economics and portfolio choice and discusses a variety of asset pricing models. It introduces a concept of risk factor as defined in the empirical asset pricing literature. Finally, it demonstrates practical applications of factor research in all areas of quantitative investment and active portfolio management: forecasting models, risk models, and implementation of systematic investment strategies.