Investment Management

Learning Outcomes

The aim of the course is to provide students with the economic intuition that will enable them to become more successful investors/traders. The course will be partly qualitative, but mostly quantitative and based on theory and empirical evidence. Portions of the course will require students to have a basic knowledge of probability and statistics. We will quickly review the following concepts in class: expected value, standard deviation, covariance, correlation, and regression analysis

Topics

1. Investors and the investment process
2. Statistical review
3. Risk and return
4. Asset allocation
5. Diversification, systematic vs idiosyncratic risk, Mean variance optimization and the efficient frontier
6. Capital Asset Pricing Model (CAPM), introduction, assumptions, and application
7. Security, portfolio, and strategy alphas and betas
8. Arbitrage Pricing Theory (APT) and multifactor models of risk and return
9. Equity valuation models, Market efficiency, Behavioral finance and rule‐based quantitative investment strategies
10. Factors affecting the price of government bonds, Yield to maturity, yield curve, and the term structure of interest rates
11. Duration and interest rate risk
12. Corporate bonds and the pricing of credit risk
13. Introduction to derivatives and the no‐arbitrage pricing framework
14. Option payoff diagrams and put‐call parity