Quantitative Equity Portfolio Management

Course Description

Quantitative Equity Portfolio Management…


Course Outline

Session Topics Readings Homeworks
1 Consensus expected, exceptional, residual returns and risk Lecturer handout hw1
2 Expected returns and valuation Lecturer handout hw2
3 Information and forecasting Lecturer handout hw3
4 Fundamental vs. economic factor models Lecturer handout hw4
5 Portfolio construction Lecturer handout hw5
6 Transaction cost, liquidity, neutrality, blacklist, market impact, tax and all that Lecturer handout hw6
7 Performance analysis Lecturer handout hw7
8 Portfolio optimization using SOCP and global optimization methods Lecturer handout hw8
9 Advanced portfolio optimization 1 (Bayesian approach, etc.) Lecturer handout hw9
10 Advanced portfolio optimization 2 (moment selection, etc.) Lecturer handout hw10
11 Universal portfolio Lecturer handout hw11
12 Estimation of covariance matrices Lecturer handout hw12


Recommended Readings

  1. Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, Richard Grinold, Ronald Kahn
  2. Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management, Ludwig B Chincarini, Daehwan Kim
  3. Advances in Portfolio Construction and Implementation, Alan Scowcroft
  4. Bayesian portfolio optimization with time-varying factor models, Feng Zhao