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

Fall in 2008-09. Spring semester in future years.

Fall 2008 Section
Robert Frey, MW 6:55-8:20 pm, Physics P116 , AMS 512 Webpage

Spring 2010 Section
54327 LEC 01 TUTH 05:20-06:40PM Loc: TBA Inst: Robert Frey