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Course Details

Carnegie Mellon: Tepper School of Business
Number: 46926
Title: Linear Models Equity Portfolio Mgmt
Concentration: TBA
Prerequisites: 46921 - Introduction to Probability AND 46923 - Introduction to Statistical Inference
Description: This is a course in regression analysis and linear models with application to equity portfolio management. Basic methods taught in the course include simple and multiple linear regression, model selection, residual analysis, diagnostics, detection of multi-collinearity, nonstandard conditions and transformations. Principal components and factor analysis are also introduced. Examples will be taken from financial models, including the CAPM and multi-factor with applications to portfolio selection and asset allocation.

Representative text:
Campbell, J.Y., Lo, A.W. and MacKinlay, A.C. (1997). The Econometrics of Financial Markets. Princeton University Press; Modern Applied Statistics with Splus, by Venables and Ripley, Third Edition Springer-Verlag (0-387-98825-4); and handouts available through the course web page.

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