Quantitative investment management：定量投资管理.pdfVIP

Pomona College Department of Economics Quantitative investment Quantitative investment management management [Econ-158] Spring 2008 Instructor: Professor Ludwig Chincarini, CFA, Ph.D. Phone: 909-621-8881 (Office) 703-585-0336 (Cell) Email: chincarinil@ [always have in subject line: Econ158] Website: /~lbc04747/ Office Hours: Carnegie 208 (Mon Wed 4:15 – 5:30 PM or by request). Class Hours Location: Mon Wed, 2:45 –4:00 PM, CA 107 (regular classes) For the computer lab classes: HN 204. Prerequisites: Econ 56 and Econ 157. Course Description: The understanding and application of quantitative equity portfolio management (QEPM). This course bu ilds on seminal work in financial theory, like the CAPM and APT, and includes discussion of the differences between QEPM and traditional qualitative analysis, the relationship between QEPM and market efficiency, the use of futures and options to create leveraged and market neutral portfolios, and the use of Bayesian methods to handle non-quantitative data. The course involves application of the concepts to real-world data. Course Objective: To be familiar with investment analysis for ease of understanding concepts produced in the financial press,for a background that would allow a basic intuitive and mathematical understanding of their behavior for work in the financial markets, and to understand how to manage equity portfolios, especially with regards to the ever growing trend of QEPM (quantitative equity portfolio management). Professor Chincarini 1 Econ-158: QIM. Spring 2008 Pomona College Department of Economics Required Text: Chincarini, Ludwig B. and Daehwan Kim. Quantitative Equity Portfolio Management