Portfolio Theory

GSM MF 730

A concise introduction to recent results on optimal dynamic consumption-investment problems is provided. Lectures will cover standard mean-variance theory, dynamic asset allocation, asset- liability management, and lifecycle finance. The main focus of this course is to present a financial engineering approach to dynamic asset allocation problems of institutional investors such as pension funds, mutual funds, hedge funds, and sovereign wealth funds. Numerical methods for implementation of asset allocation models will also be presented. The course also focuses on empirical features and practical implementation of dynamic portfolio problems.

FALL 2014 Schedule

Section Instructor Location Schedule Notes
A1 Rindisbacher SMG 404 M 6:00 pm-9:00 pm Reserved for
Math Finance
students.

Note that this information may change at any time. Please visit the Student Link for the most up-to-date course information.