AMS 512, Capital Markets and Portfolio Theory
Development of capital markets and portfolio theory in both continuous time and multi-period settings. Utility theory and its application to the determination of optimal consumption and investment policies. Asymptotic growth under conditions of uncertainty. Applications to problems in strategic asset allocation over finite horizons and to problems in public finance. Whenever practical, examples will use real market data. Numerical exercises and projects in a high-level programming environment will also be assigned.
Prerequisite: AMS 511
3 credits, ABCF grading
Text: Financial Optimization by by Stavros A. Zenios , Paperback: 372 pages; Publisher: Cambridge University Press (October 28, 1996); ISBN: 9780521577779