The Asset Management curriculum covers a range of topics, including investment theory, investment practice, and trading and portfolio execution. Courses will be taught and often co-taught by Yale SOM’s full-time finance faculty, Yale Law School and economics faculty, and lecturers from firms such as AQR Capital Management, Bridgewater Associates, and Cyrus Capital Partners.
Principal and Head of Global Stock Selection, AQR Capital Management
In our industry, we are constantly looking for bright people who have rigorous quantitative training plus an understanding of how theories and conceptual tools can be applied to markets. The Yale finance faculty are at the forefront of research in asset valuation and market dynamics, and they maintain close relationships with investors, providing students of the Yale Master’s in Asset Management with exceptional instruction on both sides of that equation. By co-teaching many classes with practitioners, they strengthen the bridge between theory and practice—an ideal environment in which to start a career in asset management.
Asset Management Colloquium
Six to eight talks per year by leaders in the field of asset management. Potential topics include the following: client relations, cryptocurrencies, data technology, discretionary macro, real assets, risk management, short selling, and venture capital.
Asset Pricing Theory
This course provides the theoretical background and economics underlying asset pricing theory used to describe the levels and dynamics of asset prices in markets. The course will cover the classic CAPM as well as multifactor models motivated from several theories. Conditional asset pricing models and macroeconomic models will also be discussed.
The field of behavioral finance tries to make sense of investor behavior, financial markets, and corporate finance using models that make psychologically realistic assumptions about the way people think, e.g., that allow for less than fully rational thinking. In this course, we cover both the classic contributions to the field and also the most recent research developments.
Business is an activity in which parties exchange goods or services for valuable consideration. This course examines the ethical dimensions of such activities. We will give little focus to empirical questions (such as, “Does ethical business pay?”) or descriptive questions (such as, “Why do people engage in unethical behavior?”). Rather, most of the focus will be on learning tools for reasoning about what is ethical and unethical in business.
Financial Econometrics and Machine Learning
This course derives the empirical models and methods for testing asset pricing theory and analyzing financial security price data. Financial econometrics provides a set of tools that are useful for modeling financial data and testing beliefs about how markets work and prices form. The second part of the semester focuses on the latest techniques for applying big data and machine learning to problems in asset management.
This course delves into quantitative factor investing, the basic building blocks of quantitative models of investing. The course is primarily empirically focused with heavy data applications. Students will replicate studies and design their own tests of theories and apply them to the data. Attention will also be paid to how these concepts fit within the theoretical paradigms of risk-based and behavioral asset pricing theory.