IEORE4630 Asset Allocation

3 pts. Lect: 3. IEOR E4700: Introduction to Financial Engineering, Probability and Statistics at the level of SIEO W3600 or SIEO W4150, and a basic course on Deterministic Optimization at the level of IEOR E3608, E4004 or E4007. This course is required for undergraduate students majoring in OR:FE. This course introduces and extensively discusses modern asset allocation techniques. We will with mean-variance models and in this context discuss bond portfolio selection, equity portfolio selection, active portfolio selection, and robust portfolio selection. Next, going beyond mean-variance we will cover value at risk (VaR) and conditional value at risk (CVaR) based portfolio selection. We will also discuss implementation details such as parameter estimation, Bayesian methods, transaction and trading costs. For the most part this course will discuss equity portfolios. We will discuss option portfolios and alternative investment when we discuss models that go beyond the traditional mean-variance framework.

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