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QSTMF 730 - Portfolio Theory

Description
A concise introduction to recent results on optimal dynamic consumption- investment problems is provided. Lectures will cover standard mean-variance theory, dynamic asset allocation, asset-liability management, and lifecycle finance. The main focus of this course is to present a financial engineering approach to dynamic asset allocation problems of institutional investors such as pension funds, mutual funds, hedge funds, and sovereign wealth funds. Numerical methods for implementation of asset allocation models will also be presented. The course also covers empirical features and practical implementation of dynamic portfolio problems. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)
Credits
3
Recent Professors
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Recent Semesters
Fall 2021, Fall 2020, Fall 2019
Offered
M, Th
Avg. Sections
2