Investments: Portfolio Selection and Asset Pricing

This lecture covers a wide range of topics in investments, including portfolio selection, equilibrium asset pricing, arbitrage pricing theory, market efficiency, and behavioral finance. It also discusses tests of asset pricing models and hedge fund strategies in equity, fixed income, foreign exchange, and commodity markets. The course emphasizes the importance of risk management, optimal mean-variance portfolio choice, and the efficient frontier with multiple risky assets. Students will learn about estimating moments from time-series data, historical performance of asset classes, and the mathematical characterization of the general case.