This course covers the main quantitative tools that are used in investment management with emphasis on optimization models. The course will address the following essential elements of the quantitative investment management process: 1) its dynamic nature; 2) return and risk models; and 3) portfolio construction.
Throughout the course we will cover the standard classes of optimization models (linear, quadratic, and dynamic programming) that are used in portfolio selection. We will also discuss some of the emerging modern approaches for portfolio construction such as resampled efficiency, Bayesian approaches, and robust and stochastic programming. We will also study issues that arise in a dynamic multi-period setting such as performance evaluation, transaction costs, and execution risk.