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2013 Fall - MATH
Subj Cat# Class# Sect Course
MATH 458B 1172 1 Optimal Portfolio Theory
Description
This course will touch briefly on the (one-period) CAPM. Then we will move to the dynamic CAPM (Merton's model), first in discrete time, then in continuous time. We will also cover related approaches favored by practitioners, such as Black-Litterman. We will also cover estimation problems, and, if time allows, Roll's critique of the CAPM. Along the way, we will study dynamic programming in discrete and continuous time. Prerequisite: Math 256. Corequisite: Math 358.