Core Curriculum
Quantitative Equity Portfolio Management
Course Outline
There are a total of 12 lectures, each running for 3 hours.
Recommended Readings
Website
- Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, Richard Grinold, Ronald Kahn
- Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management, Ludwig B Chincarini, Daehwan Kim
- Advances in Portfolio Construction and Implementation, Alan Scowcroft
- Bayesian portfolio optimization with time-varying factor models, Feng Zhao
