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Graduate Record 2021-2022 [ARCHIVED RECORD]
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STAT 5265 - Investment Science I
Effective Start Date: 08/01/2015
The course will cover a broad range of topics, with the overall theme being the quantitative modeling of asset allocation and portfolio theory. It begins with deterministic cash flows (interest theory, fixed-income securities), the modeling of interest rates (term structure of interest rates), stochastic cash flows, mean-variance portfolio theory, capital asset pricing model, and the utility theory basis for financial modeling. Conceptual discussion in lectures is supplemented with hands-on practice in applied data-analysis tasks using Matlab or R statistical software.
Prerequisite: MATH 3100.
Credits: 3
Grading Basis: Graded
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