Review Comment

[IEOR 4630] Asset Allocation

May 23, 2012

Iyengar, Garud
[IEOR 4630] Asset Allocation

Please keep in mind that this review is more than 5 years old.

Asset Allocation is not an easy class to take. While a simple asset allocation course can be taken in Davidson's Financial Econ course, Garud delves more into the technical and theoretical side of asset allocation. It gets interesting as you factor in variables like taxes, changes in asset prices, and optimal solutions that most undergraduate level courses don't talk about. You get to read some cool research papers about new financial models being developed at Barclays and Axioma and see how it relates to the material in class. Some of the risk management and VaR material that you study does help in the real world...

The main downside is most of the class is graduate students that kill the curve because graduate students have no life. This is not Garud's fault...

Assignments - Weekly homeworks that are time consuming and sometimes quite hard. First midterm was easy, second was hard, final was hard but reasonable. All of the materials on the tests and exams came directly from notes; Garud is very straightforward about this and does not try to throw curve balls.

Grading is very fair.

About Garud - He is very knowledgeable and really helpful. He is straightforward and to the point. The material can be boring at times because it is quite theoretical. Garud commented that when he was a graduate student, he didn't pay attention in class and skipped class alot so he couldn't penalize us for doing the same.

Workload:

Weekly Assignments that are time consuming but manageable if you work in groups or friends.

Easy 1st midterm, hard 2nd midterm and hard final but all the material comes straight from his notes.

May 17, 2009

Iyengar, Garud
[IEOR 4630] Asset Allocation

Please keep in mind that this review is more than 5 years old.

By far one of the best teachers I've had in IEOR, plus he seems to be really brilliant.
The course covers several methods for optimizing asset allocation, but you definitely need to have done well in optimization/probabilities as you will need it. The professor does a great job explaining the material and his notes are very good, but going to class is a must as no useful textbook is available and actually by the end of the class we were covering material from resent research papers. He adds a lot of insight on what happens in the industry, making parallels to what he is covering in class. At least for me that made the class a lot more interesting. You need to do all the homeworks as some problems will appear very similar in the tests. He is very approachable even outside his office hours.
The recitations were useful (TA was Rodrigo Carrasco) as he went over the previous homework solutions making them more clear. The only problem was that he didn't cover much about the next homework so no hints on how to solve it, but I e-mailed him a couple of times and that helped me a lot. Anyway, as the recitations were taped in CVN you could check them on-line. He also made great homework solutions explaining step by step how to do everything (not just one line solutions you generally get) and gave additional insights on why things were working or not.

Workload:

Although the syllabus said homework every other week, we ended up having weekly homeworks. Not too tough but they require a lot of programming in Matlab and AMPL so you might end up spending a couple of days at the lab fighting with it.
1 Midterm and a Final with a cheat sheet, very close to the samples shown in recitations.

Directory Data

Dept/Subj Directory Course Professor Year Semester Time Section
IEOR / IEOR IEOR IEOR E4630: Asset Allocation 2012 Spring F / 12:00- 1:00 PM 0
IEOR / IEOR IEOR IEOR E4630: Asset Allocation Garud Iyengar 2012 Spring MW / 11:00-12:15 PM 1
IEOR / IEOR IEOR IEOR E4630: Asset Allocation Garud Iyengar 2011 Spring MW / 1:10- 2:25 PM 1
IEOR / IEOR IEOR IEOR E4630: Asset Allocation 2011 Spring / 0
IEOR / IEOR IEOR IEOR E4630: Asset Allocation 2010 Spring F / 2:00- 3:30 PM 0
IEOR / IEOR IEOR IEOR E4630: Asset Allocation Garud Iyengar 2010 Spring W / 1:00- 4:00 PM 1
IEOR / IEOR IEOR IEOR E4630: Asset Allocation Garud Iyengar 2009 Spring TR / 9:10-10:25 AM 1