Course Schedule and Catalog
Course Catalog - 2020-2021
MGMT 767 - QUANTITATIVE FINANCE LAB
Long Title: QUANTITATIVE FINANCE LAB
Department: Management
Grade Mode: Standard Letter
Language of Instruction: Taught in English
Course Type: Lecture/Laboratory
Credit Hours: 1.5
Restrictions:
Must be enrolled in one of the following Program(s):
MBA for Professional Extended
MBA for Professionals
MBA for Professional Weekend
MBA - Executive Program
MBA
Must be enrolled in one of the following Level(s):
Graduate
Graduate Quadmester
Prerequisite(s): MGMT 638 AND MGMT 648
Description: This course is a sequel to MGMT 638, Quantitative Investment Strategies. Students will work in groups to design, implement, and evaluate data-driven investment strategies. Groups will have freedom to select the signals they wish to consider for forming portfolios. Attention will be given to optimally combining multiple strategies, using market signals to rotate between strategies, and controlling portfolio turnover. Performance metrics will include alphas, Sharpe ratios, information ratios, skewness, kurtosis, and attribution analysis. Repeatable for Credit.