This course provides a
detailed examination of two critical concepts in **quantitative
equity
portfolio management**. The first concept is how to use statistical
models to measure the risk inherent in the underlying assets of an
open-end equity mutual fund. This includes detailed definitions of factor
models along with examples of how they are used in practice. Given a
factor model, we then discuss how to construct an “optimal” portfolio,
defined as a portfolio that uses the manager’s information about the risk
vs. return trade-off. This includes a discussion of the role of
measurement error in confounding the construction of optimal portfolios
and practical approaches to dealing with measurement error. The second key
concept in the course is that the risk of an equity mutual fund is not
simply the risk of the assets in the fund. There are substantial sources
of risk that come from the interactions of managers pursuing similar
portfolio strategies. The concepts in the course will be examined through
lecture, class discussion, cases, and homework assignments.

All course related materials
are available to registered students via the Blackboard Vista website. The
current version of the syllabus is available here.

This course is divided into two parts. In the first half of the semester, we focus on the basic intuition of the classical theory of asset price determination and portfolio selection. In the second half of the semester, we consider extensions of these basic models in a variety of new directions.

All course related materials are available to registered students via the Blackboard Vista website. The current version of the syllabus is available here.