This course examines in depth modern portfolio theory and investment selection. It considers the mathematics of portfolio analysis, single-period risk and return measures and the process of optimal portfolio selection. The basic portfolio model is extended to consider alternative risk concepts and multi-period portfolio horizons. Single-factor and multi-factor models are discussed. Optimization techniques, such as linear programming and quadratic programming, are applied. The basic portfolio model is extended to explain hedging theory and to build firm-wide risk management models.
Prerequisites: FRE 6411, FRE 6511 and Graduate Standingl
Additional material: FRE_6711_INVESTMENT_THEORY_AND_APPLICATIONS.pdf