Preview Workflow

The CIM Courses system will be down temporarily undergoing routine maintenance.

Viewing: EMSE 6450 : Quantitative Methods in Investment Engineering

Last approved: Fri, 14 Apr 2017 08:02:13 GMT

Last edit: Sun, 05 Mar 2017 23:52:11 GMT

Catalog Pages referencing this course
Programs referencing this course
School of Engineering and Applied Sciences
Engineering Management and Systems Engineering (EMSE)
EMSE
6450
Quantitative Methods in Investment Engineering
Quantitative Investment Eng
Spring 2017
3
Course Type
Lecture
Default Grading Method
Letter Grade

No
No
EMSE 6115 and EMSE 6410
Corequisites
Technical background at the level of a bachelor’s degree in engineering, mathematics, or science and working knowledge of Microsoft Excel
25
J. van Dorp
Frequency of Offering
Every Year
Term(s) Offered
Spring
Are there Course Equivalents?
No
 
No
Fee Type


No


Cash flow streams and the basic theory of interest; bond pricing and immunization of bond portfolios, the term structure of interest rates, mean-variance portfolio theory and the capital asset pricing model; value at risk.
Students who complete this course will be able to • Use the concept of a constant ideal bank which serves as a base case comparison for investment decisions. • Apply the basic theory of interest to applied interest analysis problems to include capital budgeting and dynamic cash flow processes. • Use the term structure of interest rates, an advance interest rate theory concept, to compare and contrast invest and re-investment decision over a fixed planning horizon to a single investment over that same planning horizon. • Apply the term structure of interest rate to the pricing of fixed income securities with different maturities. • Construct bond portfolios using the concept of immunization to protect bond portfolio value against interest rate changes. • Apply Markowitz Stock Portfolio theory, in particular the Two-Fund theorem, to construct efficient frontiers for a set of stock download from Yahoo Finance. • Evaluate that same set of stocks using the Capital Asset Pricing Model. • Use Micro Soft Excel to conduct all of the Investment Engineering Analysis problems above.
Uploaded a Course Syllabus

Course Attribute


Key: 2792