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Asset Management

Course Number:






Course Description

Asset Management pulls together many (all!) of your quantitative tools to look at something near and dear to us all: wealth. At the core, Asset Management (sometimes called Wealth Management) is the familiar portfolio problem with the objective of balancing returns and risk. But evaluating risk and return and then optimizing is, in practice, tricky. The three big components of an asset class, trading strategy are: “Epsilon” - A large part of returns is just luck (good and bad); “Beta” - there is a risk premium to be earned for bearing risk; and “alpha” - Once you average out the epsilons and adjust for the beta-risk, what is left-over is the wealth-increasing alpha. The plan for the course is to look at asset classes and portfolio strategies to evaluate the epsilon, beta, and alpha, and then to combine things into a workable strategy. Possible topics:

  • Implementing equity strategies (like value and growth)

  • Trading on “behavioral” anomalies

  • Evaluating hedge funds

  • Liquidity

  • Taxes and Portfolio Strategies

  • Commodity trading strategies

  • International portfolio strategies (e.g., the carry trade)

* This is a new class in 2014, so exactly what we cover will depend on what we all find interesting.  Feel free to send suggestions.


Lecture: 100min/wk and Recitation: 50min/wk