Spring 2014 MBA Course

B8323-001: Factor Investing: A Systematic Approach to Asset Management

T - Full Term, 09:00AM to 12:15PM

Location: URI 326

Instructor: Andrew Ang

Corequisite(s): B8306

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This course applies financial theory to the issues and problems of asset management. In order to understand these issues, we must start with the specific goals, characteristics, and considerations of the asset owner. Asset owners may be individuals (e.g. personal wealth), collective owners (e.g. families or pension funds), charitable endowments and foundations (e.g. Columbia University), corporations, and nations (e.g. sovereign wealth funds). We characterize the properties of asset returns and the nature of various investment strategies to assess how asset management can meet the specific investment goals of asset owners. Asset owners usually delegate management of their portfolios to financial intermediaries, which may invest across a broad array of assets or specialize in a certain investment style or asset class. The delegated nature of investments necessitates understanding the principal-agent issues and market frictions associated with each type of asset class.


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Andrew Ang

Academic Advisory Board MemberProfessor Ang specializes in empirical asset pricing and applications of econometrics to financial problems. He has developed macro-models of fixed income, valuation models with time-varying expected returns, models of downside risk and other non-linearities in asset returns, and models of dynamic asset allocation. He is a Research Associate of the National Bureau of Research and is the recipient of several grants, including grants from the...

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