I have a BSc degree in pure mathematics and i am graduate student in Operations research. I will have a course on "portfolio management". I am looking for some book/lecture notes/online course recommendations on the subject, if possible with exercises & solutions. (I came from a math background so i prefer rigorous materials) (here is the content of the first 5 lectures); i have no idea about finance, economy or portfolio management. Thank you.
2 Answers
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Although you describe your class as Portfolio Management, the content of the first 5 lectures you linked to would generally be part of a first introductory course in Portfolio Theory in a US university (in my opinion). Portfolio Management would be a second, more advanced course, with additional theory but also additional industry and practical considerations. The books mentioned by madylin are very good for Portfolio Management but they might be too advanced for your class. In the CFA program Portfolio Theory is in level 1 and Portfolio Management is in Level 3.
A common textbook for Portfolio Theory would be Elton, Gruber, et al: Modern Portfolio Theory and Investment Analysis.
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1$\begingroup$ @Beams: you didn't ask me my opinion but my advice is to skip the class and learn the material on your own when you want to. If you're in an OR grad program, I would take courses where having the teacher could possibly be really useful. Given the pages you linked to, you could just read them on your own whenever you want without the need for a teacher. They can't add much to those pages I don't think. So, IMHO, no need for the class but that's of course just my advice. Everyone's recommendations were great. Another one is by Andrew Rudd. It's older and the name escapes me. $\endgroup$ Commented Feb 1, 2019 at 6:41
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$\begingroup$ amazon.com/Modern-Portfolio-Theory-Principles-Investment/dp/… $\endgroup$ Commented Feb 1, 2019 at 6:42
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$\begingroup$ @mark-leeds The problems with the lecture slides linked above are : 1. Not rigorous, it does not define debt or equity for example, it starts by drawing figures of them! It tortures me. I am so used to pure math where we define every concept before talking about it ! 2. No logical links between parts, no overview/ plan. Since I don't have any knowledge about finance, nothing makes sens; it's just a lot of slides about random things put in a random order $\endgroup$– user38605Commented Feb 1, 2019 at 16:44
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$\begingroup$ @Hilbert-Hotel: They're definitely not the greatest but I would read one of the texts suggested then. Again, just my IMHO. I would key on classes where the professor's deep knowledge can sometimes aid in learning. Conversely, in the portfolio class, I think you can self-teach it even if you have to use other better venues. $\endgroup$ Commented Feb 2, 2019 at 15:05
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These are probably most commonly used:
- Chincarini and Kim
- Grinold
- Qian and Hua
- Some subset of Bouchaud and Potters and Carol Alexander's risk books.
As for courses, it's harder to recommend as that's more open-ended.
