Professor: Duane Seppi
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.