Description: Lecture, three hours. Limited to Master of Financial Engineering Program students. Application of state-of-art quantitative techniques to asset management problems. Asset pricing models in depth, portfolio optimization and construction, and dynamic strategies such as pairs trading, long-term and short-term momentum trades, and strategies that address behavioral finance anomalies. Major forms of asset management structures such as mutual funds, hedge funds, exchange traded funds (ETFs), special investment vehicles, and some primary types of trading strategies used by these organizations. S/U or letter grading.

Units: 4.0