Fall

IEORE4728 Quantitative Alpha Strategies


Additional Information: IEORE4728_Fall_2017_Syllabus.pdf

The major value added of the active asset management and hedge fund businesses is alpha strategies. While qualitative alpha strategies are still important, in the past quarter century quantitative models for delivering alpha have seen most of the growth in assets under management.

This course will teach students the difference between a crank’s data-mined backtest with a Sharpe ratio of 8 and a professional alpha strategy that would interest an asset management firm, or could serve as the basis for opening a new hedge fund. Topics will include:




500 W. 120th St., Mudd 315, New York, NY 10027    212-854-2942                 
©2014 Columbia University