Required Readings

• 1. Reilly, F. K. and K. C. Brown (2012), Investment Analysis and Portfolio Management, 10th Edition, Thompson: South-Western. [henceforth, RB]

  2. Elton, Edwin J., Martin J. Gruber, Stephen J. Brown, William N. Goetzmann, Modern Portfolio Theory and Investment Analysis, 6th edition, [John Wiley & Sons, 2009]. [henceforth, EGBG]

  3. Hull, J.C. (2015), Risk Management and Financial Institutions, 4th eds., Wiley [henceforth, Hull]

  4. Grinold, R.C. and Nahn, R.N. (2004), Active Portfolio Management, 2nd eds., Mcgraw-Hill.

  5. Quin, E.E. , R.H. Hua and E.H. Sorensen (2007), Quantitative Equity Portfolio Management: Modern Techniques and Applications, Chapman & Hall/CRC Financial Mathematics Series. [henceforth, QHS]

  6. Chincarini, L. B. and D. Kim (2006), Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management, McGraw-Hill. [henceforth, CK]

  7. Fabozzi, F. J., Sergio M. Focardi, Petter N. Kolm (2006), Financial Modeling of the Equity Market: From CAPM to Cointegration , Wiley. [henceforth, FFK]

  8. Litterman, Bob and Quantitative Resources Group(2003), Goldman Sachs Asset Management, Modern Investment Management: and Equilibrium approach, John Wiley & Sons, Inc. [henceforth, L]

  9. Murphy, John J.(1999), Technical Analysis of the Financial Markets : A Comprehensive Guide to Trading Methods and Applications, New York Institute of Fiance.

  10. Chan, Ernest P.(2013), Algorithmic Trading, Wiley.

  11. Maikiel, B. G.(2019), A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (12th Edition), W.W. Norton & Company, Inc.

In addition to class notes and texts, the course will make use of articles that are both academic in nature and practitioner-oriented. I strongly recommended that you read the Wall Street Journal on a regular basis. Articles and figures from the Wall Street Journal and other supplemental sources will frequently be referenced in class and may be tested in exams.