25729 Applied Equity Portfolio Management

Description

This subject is concerned with the process of constructing and managing equity portfolios with a focus on quantitative techniques. The subject commences with an examination of the role played by investor risk appetite in the construction of optimal portfolios. After reviewing recent empirical evidence on the predictability of stock returns, the subject deals with the steps necessary to develop and test an equity trading strategy. The focus is on practical implementation via computer-assisted financial portfolio strategies applied to Australian and international financial markets. After developing a basic strategy the focus moves to more advanced topics such as the integration of long and short equity positions using robust portfolio optimisation.