Portfolio Construction

QST MF 825

This course is designed for students seeking to work as quants in a quantitative finance investments group. It covers utility theory, portfolio optimization, asset pricing, and some aspects of factor models, incorporating the impact of parameter uncertainty. The course does not cover risk management or fixed income instruments, nor does it describe how the financial services industry works. Rather, it teaches how a quant should optimize a portfolio. The course makes extensive use of R (Excel or VBA are not substitutes), optimization theory, statistics, regression theory (OLS, GLS, testing theory), and matrix algebra. Students should be very comfortable with these concepts before taking the course; further, students should already have taken a finance course covering expected returns models (CAPM), options and futures. The course emphasizes the ability to prove theoretical results and their validity, an essential trait for investments quants. Students who completed QST FE825 may not take this course for credit. (Mathematical Finance courses are reserved for students enrolled in the Mathematical Finance program.)

SPRG 2025 Schedule

Section Instructor Location Schedule Notes
D1 Jacquier HAR 324 T 12:30 pm-3:15 pm

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