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FE 630 Portfolio Theory and Applications

This course introduces the modern portfolio theory and optimal portfolio selection using optimization techniques such as linear programming. Topics include contingent investment decisions, deferral options, combination options and mergers and acquisitions. The course then focuses on financial risk management with emphasis on Value-at-Risk (VAR) methods using general and parametric distributions and VAR as a risk measure. Real world scenarios are studied.

Credits

3

Prerequisite

FE 535 or FE 620

Distribution

School of Business

Typically Offered Periods

Fall Semester Spring Semester Summer Session 1