This course studies the sources of expected returns in financial markets and why predictable return patterns persist. Using empirical evidence, the course studies returns across asset classes, common factors, and hedge fund strategies, including value, momentum, carry, low-risk, and arbitrage, and covers the distinction between risk premia, alpha, and luck. The course integrates asset pricing, behavioral finance, and market frictions to cover the portfolio construction and evaluation of investment strategies under real-world constraints, including leverage, liquidity, and market stress.
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