Asset Management
Course Number: 46979
This course presents a modern treatment of the buy side of quantitative finance using a factor-based perspective. Assets earn risk premiums to compensate for losses during adverse economic conditions due to exposure to underlying factors.
The course begins with an overview of asset management from both academic and practical perspectives, including factors, portfolio construction, and the roles of key market participants. It then explores factor models across asset classes, statistical validation of risk premiums, portfolio construction, and back-testing methodologies.
Practical considerations such as transaction costs, liquidity, taxes, cash management, and delegated investing are also addressed. The course concludes with developments in artificial intelligence and machine learning in asset management.
Concentration: Finance
Semester(s): Mini 6
Required/Elective: Elective
Prerequisite(s): 46972, 46973, 46929, 46956