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MSC 614 - Quantitative Investment Strategies

Course Description: 

This course develops the primary quantitative tools used in the portfolio selection process. The applied focus of the course centers on the process of moving from a data set of historical information to the formulation of a forecasting model, the estimation of mean-variance efficient portfolios, and the testing of efficiency hypotheses within an in-sample and post-sample setting. The course covers the estimation of efficient portfolios, factor models, forecasting models, and risk analysis.

Credit: 

(3-0-3)

Prerequisite: 

None

Corequisite: 

None