Carnegie Mellon University

Asset Management

Professor: Anisha Ghosh

Department: Tepper

Course Number: 46979

Description: Assets earn high returns (risk premiums) to compensate owners for the losses they incur during bad times, i.e., because of their exposure to underlying factor risks. Identifying the relevant factors for different asset classes (e.g., equities, bonds, currencies, commodities, hedge funds, private equity) and the bad times associated with each of them constitute the central ingredients in asset allocation decisions. This course adopts a factor-based approach to asset management. You will learn about the major risk factors for different asset classes that have been identified in academic research; use statistical methods to cross-validate the existence of premiums associated with these factors; construct optimized portfolios based on underlying factor models for investors with different preferences; and backtest the performance of these portfolios using several decades of historical data. We will also discuss whether alternative investment vehicles like hedge funds indeed represent separate asset classes or exposure to the same risk factors driving standard asset classes (like equities).

Prerequisites: 46929, 46936, 46956, 46972, 46973, 46975