EN 550.447 - Advanced Portfolio and Investment Theory

Institution:

Johns Hopkins University

Subject:

Description:

Prerequisites: 550.442 or 550.444 This course focuses on modern quantitative portfolio theory, models, and analysis. Topics include intertemporal approaches to modeling and optimizing asset selection and asset allocation; benchmarks (indexes), performance assessment (including, Sharpe, Treynor and Jenson ratios) and performance attribution; immunization theorems; alpha-beta separation in management, performance measurement and attribution; Replicating Benchmark Index (RBI) strategies using cash securities / derivatives; Liability-Driven Investment (LDI); and the taxonomy and techniques of strategies for traditional management: Passive, Quasi-Passive (Indexing) Semi-Active (Immunization & Dedicated) Active (Scenario, Relative Value, Total Return and Optimization). In addition, risk management and hedging techniques are also addressed.

Credits:

4.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.jhu.edu

Phone Number:

(410) 516-8000

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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