FINM 36700

Portfolio Theory and Risk Management I

Autumn Quarter
Instructor: Mark Hendricks

The course begins by covering the classic foundations of portfolio theory, including mean-variance mathematics and the standard equity factor models used in attribution and risk management. It goes beyond these classic results to cover return dynamics, statistical uncertainty, model selection, market frictions, and non-convex optimization. Throughout, the course examines issues of application and implementation relevant for professionals in various areas of quantitative finance. Case studies cover a range of asset classes, investment strategies, and industries.