NBA 6450

Last Updated

  • Schedule of Classes - June 15, 2016 6:14PM EDT
  • Course Catalog - June 9, 2016 6:15PM EDT

NBA 6450
Advanced Investment Strategies

Course information provided by the Courses of Study 2015-2016.

This course introduces students to a variety of advanced investment strategies on modern financial markets. The quantitative trading strategies are based on time-series and cross-sectional return predictability on global financial assets such as equity indices, foreign currencies, commodities, and sovereign bonds. In particular, we study the fundamentals of commodity futures returns and momentum strategy on commodity investment, the carry trade and momentum strategy on currency investment, the volatility strategy on option investment. In addition to delivering trading strategies, we pay close attention to common risk factors behind these investment strategies. Special topics change from one year to another to reflect recent trends and practices in industry, and also the state-of-art research in academia. This year's special topics are stock crash concerns and expected returns, rare disaster concerns and hedge fund performance, and global tail risks across different asset classes.

When Offered Spring.

View Enrollment Information

Syllabi: none

  •   Seven Week - First. 

  • 1.5 Credits GradeNoAud

  • 17361 NBA 6450   LEC 001

  • Add/Drop Dates: Johnson Students - January 19th at 8:00am to February 10th at Noon. Non-Johnson Students: February 4th at 8:00am to February 10th at 4:00pm. You may add or drop a first-half class after February 10th with permission of the faculty. A late fee of $100.00 will be charged for each add or drop transaction. If you are dropping after February 24th you will also receive a "W" on your transcript in addition to the late fees.

    Department Consent Required (Add)

Syllabi: none

  •   Seven Week - Second. 

  • 1.5 Credits GradeNoAud

  • 18214 NBA 6450   LEC 002

  • Non-Johnson students must see their college registrar regarding policies connected with adding/dropping a second half Johnson School class. A petition may be required. Add/Drop Dates: Johnson Students – March 21st – March 25th Non-Johnson Students – March 24th – March 25th You may add or drop a second-half class after March 25th only with permission of the faculty. A late fee of $100.00 will be charged to your bursar account, for each add or drop transaction. If you are dropping after April 18th you will also receive a “W” on your transcript in addition to the late fee.

    Department Consent Required (Add)