46-972 MSCF Investments
6 units, Carnegie Mellon University
MSCF Investments gives students a foundation for quantitative portfolio management and for understanding market price determination. Key concepts include risk measurement, risk-reward trade-offs, equilibrium asset pricing, portfolio optimization, benchmarking, price discovery, market efficiency, and pricing anomalies. Specific portfolio management tools include mean-variance optimization, CAPM and APT asset pricing, general equilibrium asset pricing theories, and cash-flow/discount-rate decompositions, factor models (e.g., Fama-French), momentum strategies, and performance evaluation. The course presents essential theories and formulas and reviews important institutional and empirical facts about equity, bond, and commodity markets. Non-MSCF students may not take this course without the instructor's written permission. To be eligible, you must be a BSCF student or a graduate student enrolled in an MSCF participating college/department (Stats & Data Science, Tepper, Computer Science Dept.,or Math Sciences). PhD students with relevant research may be eligible with the instructor's permission.
Prerequisites: none listed
Offered: Fall 2026, Fall 2025
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