MGT595 Fall 2020
- Problem Set 2: Computational and theoretical practice on forming mean-variance efficient portfolios and employing mean-variance mathematics
- Problem Set 3: Evaluate and test the CAPM using the cross-sectional framework
- Problem Set 4: Evaluate and test asset pricing models using the time-series framework, apply the Gibbons, Ross, Shanken (GRS) test
- Problem Set 5: Explore the value-growth effect on two dimensions: 1) how these returns vary over the business cycle and 2) whether characteristics or covariances better capture their returns. Also explores the characteristics vs. covariance debate for momentum.
- Problem Set 6: Explore momentum strategies, particularly industry momentum and also commodity momentum
- Problem Set 7: Look at quality which is another potential source of risk / explanation of excess returns
- Problem Set 8: Initial tests of market efficiency that focuses largely on the relation between past returns and expected returns, seasonality in returns, and the dangers and cautions of data mining
- Problem Set 9: Explore the role of various factors, such as value and momentum, across asset classes and how a combination of factors performs. It also examines other measures of risk such as higher moments of the distribution and drawdowns.
- Problem Set 10: Explore trading costs and capacity (e.g., fund size) analysis applied to many of the anomalies/factor portfolios.