15.495 Practice of Finance: Quantitative Investment Management


Class Info

Explores facets of quantitative investment management, such as alpha models and data analysis, risk management, portfolio construction and trading, and limitations of a quantitative approach. Focuses primarily on foreign exchange and fixed income markets; may also address examples from equity and commodity markets. Alpha models organized as case studies employing value/mean-reversion, momentum, and carry strategies. Students use market and economic data to challenge theoretical formulations. Problem sets and team projects involve MATLAB programming to solve practical problems faced in building and running a quantitative hedge fund.

This class has 15.402, 15.414, and 15.415 as prerequisites.

15.495 will not be offered this semester. It will be instructed by M. Mueller.

This class counts for a total of 6 credits. This is a graduate-level class.

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