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Undergraduate Record 2019-2020 [ARCHIVED RECORD]
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COMM 4732 - Advanced Investments: Quantitative Equity Portfolio Management
The course builds on the equity markets material in COMM 4710. We examine factor models, as used in practice, to both describe the risk vs. return trade-off in U.S. equity markets & to evaluate active equity portfolio managers. Given this framework, we define & examine a number of quantitative strategies including: value, momentum, low volatility (both long-only & long/short). Finally, we discuss the issue of interconnected portfolio strategies.
Credits: 3
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