The main objective of this course is to give students an integrative presentation of the theory and practice of portfolio management. The course begins with a presentation of the key concepts and fundamental models of portfolio theory and a survey of their applications. Topics covered include: optimal diversification, factor and equilibrium pricing models, market efficiency, higher moment analysis, shrinkage techniques, the core-satellite model and the Black-Litterman extension of the Markowitz portfolio management paradigm. The course then focuses on the principles and strategies of portfolio management. A class assignment includes active and passive management simulation, stock and bond portfolio management, risk management and portfolio insurance, as well as performance evaluation.