MS&E245A - Investment Science

Basic concepts of modern quantitative finance and investments. Focus is on the financial theory and empirical evidence that are useful for investment decisions. Topics: basic interest rates; evaluating investments: present value and internal rate of return; fixed-income markets: bonds, yield, duration, portfolio immunization; term structure of interest rates; measuring risk: volatility and value at risk; designing optimal portfolios; risk-return tradeoff: capital asset pricing model and extensions. No prior knowledge of finance is required. Concepts are applied in a stock market simulation with real data. Prerequisite: basic preparation in probability, statistics, and optimization.
Career
Graduate
Grading Basis
ROP - Letter or Credit/No Credit
Min
3
Max
4
Course Repeatable for Degree Credit?
No

Course Component
Lecture
Enrollment Optional?
No