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2. Asset Classes and Stylized facts Modeling Univariate and Multivariate Assets
4. Portfolio Optimization
4.1. Mean Variance definition
4.2. Analytical Mean Variance
4.3. Numerical Methods
4.4. Impact of Constraints
7. Factor Models
7.1. Linear factor Models
7.2. PCA
7.3. Nested factor models
Reference Text(s): There are no assigned textbooks for this class. Good references are:
- Risk and asset allocation - Attilio Meucci - Springer Finance - 2009 - ISBN-10: 3642009646
- Modern Investment Management: and equilibrium approach - Bob Litterman and the Quantitative
Resources Group - GSAM - Wiley Finance 2003 - ISBN-10: 0471124109
- Optimization Methods in Finance by Tutuncu and Cornuejols - Cambridge University Press (January 8,
2007) - ISBN-10: 0521861705
- Active Portfolio Management by Grinold and Kahn - McGraw-Hill; 2 edition (October 26, 1999) - ISBN-
10: 0070248826
Grading:
Project : 30%