Program Overview

Program Overview

The Optimization Methods in Asset Management program is designed to provide learners with an understanding of optimization methods applied to portfolio construction and risk management. This program explores various techniques used in the topic, including mean-variance analysis and capital asset pricing models.

Program Details

• Modules/Weeks: 6
• Weekly Effort: 8-10 hours
• Discipline: Finance & Economics
• School: Columbia Engineering
• Format: Online
• Cost: $99.00

Course Description

The course description outlines the key areas of focus for the program, including:

• Exploring portfolio construction using mean-variance analysis and capital asset pricing models
• Applying the security market line and Sharpe optimal portfolio in asset allocation
• Examining risk measurements like value at risk and conditional value at risk
• Enriching mean-variance portfolio strategies by considering transaction costs and exploring Exchange Traded Funds (ETFs) and transaction cost modeling

Course Prerequisites

The prerequisites for this course include:

• Intermediate to advanced undergraduate courses in probability and statistics, linear algebra, calculus, and optimization
• A strong mathematical foundation to comprehend advanced topics in marketing analytics
• Foundational knowledge of marketing analytics

What You Will Learn

By the end of this course, learners will be able to:

• Value complex financial derivatives, including options, swaps, forwards, and futures, using stochastic models
• Formulate modeled returns and risks for various asset classes and construct optimal portfolios in a systematic, data-driven approach
• Back test and implement trading models and signals in a live trading environment, enhancing their ability to make informed investment decisions
• Gain a strong understanding of financial modeling principles and apply this knowledge effectively in real-world investment scenarios

Course Outline

The course outline includes the following modules:

1. Course introduction
2. Mean-variance analysis and CAPM
3. Assignment week
4. Practical issues in implementing mean variance
5. Assignment week
6. Other applications of financial engineering

Instructors

The instructors for this program are:

• Garud Iyengar, Tang Family Professor of Industrial Engineering and Operations Research; Senior Vice Dean of Research and Academic Programs
• Ali Hirsa, Professor of Professional Practice, Industrial Engineering and Operations Research
• Martin Haugh, Associate Professor of Practice