Carnegie Mellon University

MSCF Investments

Professor: Duane Seppi

Department: Tepper

Course Number: 46972

Description: MSCF Investments gives students a foundation for quantitative portfolio management and for understanding market price determination.   Key concepts include risk measurement, risk-reward trade-offs, portfolio optimization, benchmarking, equilibrium asset pricing, market efficiency, and pricing anomalies.  Specific portfolio management tools include mean-variance optimization, CAPM and APT asset pricing, factor models (e.g., Fama-French), momentum strategies, and performance evaluation.  The course will present essential theories and formulas and will also review important institutional and empirical facts about equity, bond, and commodity markets.

Prerequisites: None