Course Schedule and Catalog
Course Schedule - Spring Semester 2010
Meeting location information can now be found on student schedules in ESTHER (for students) or on the Course Roster in ESTHER (for faculty and instructors).Additional information available here.
Meeting location information can now be found on student schedules in ESTHER (for students) or on the Course Roster in ESTHER (for faculty and instructors).Additional information available here.
MGMT 663 001 (CRN: 24517)
INVESTMENTS II
Long Title: INVESTMENTS II
Department: Management
Instructor: Back, Kerry
Meeting: 12:30PM - 2:00PM MW (11-JAN-2010 - 22-FEB-2010)
Part of Term: MBA Term III
Grade Mode: Standard Letter
Course Type: Lecture
Method of Instruction: Face to Face
Credit Hours: 1.5
Course Syllabus:
Restrictions:
Must be enrolled in one of the following Program(s):
MBA
Prerequisites: MGMT 645
Section Max Enrollment: 65
Section Enrolled: 5
Enrollment data as of: 18-MAY-2024 9:53PM
Description: This is a project-based course. The class will act as a team to construct a portfolio of large cap stocks designed to outperform the S&P 500 with minimal tracking error. Stock selection will be by quantitative methods. The basic approach will be to assume a factor model and use the Arbitrage Pricing Theory to find the mean-variance frontier for active weights. Other quantitative methods – for example, pairs trading – may be explored to improve portfolio selection. Alternative volatility and correlation estimation methods will be examined. The effects of model misspecification, estimation error, and parameter instability will be analyzed by evaluating performance out of sample. Initial analysis will be done industry by industry. Each student will be responsible for analyzing the returns of the stocks in one industry. When these analyses are complete, other tasks will be assigned as the team builds a portfolio and develops risk analysis methods. Students will present their results to the class via oral and written reports. Repeatable for Credit.