Description: Subject covers the most important innovations in investment technology within an integrative framework in which individual financial planning, corporate financial strategy, risk management, investment management, and proprietary trading can be analyzed quantitatively and implemented efficiently. Each topic is motivated by specific industry-driven issues in the investment process, and lectures, problem sets, and group projects develop in detail the key analytical tools that comprise modern investment technology, including: static and dynamic portfolio optimization; Monte Carlo simulation; and financial econometrics. Each of these techniques is covered in some depth, but the emphasis is on financial applications, not on methodology.
Course #: 15.408
Professor(s) who recently taught this course:
Andrew Lo