Optimization Methods in Asset Management
Financial Engineering and Risk Management,
This course focuses on applications of optimization methods in portfolio construction and risk management. The first module discusses portfolio construction via Mean-Variance Analysis and Capital Asset Pricing Model (CAPM) in an arbitrage-free setting. Next, it demonstrates the application of the security market line and sharpe optimal portfolio in the exercises. The second module involves the difficulties in implementing Mean-Variance techniques in a real-world setting and the potential methods to deal with it. We will introduce Value at Risk (VaR) and Conditional Value at Risk (CVaR) as risk measurements, and Exchange Traded Funds (ETFs), which play an important role in trading and asset management. Typical statistical biases, pitfalls, and their underlying reasons are also discussed, in order to achieve better results when completing real statistical estimation. The final module looks directly at real-world transaction costs modeling. It includes the basic market micro-structures including order book, bid-ask spread, measurement of liquidity, and their effects on transaction costs. Then we enrich Mean-Variance portfolio strategies by considering transaction costs.
Get a Reminder
Rating | Not enough ratings |
---|---|
Length | 7 weeks |
Effort | 5-8 hours/week |
Starts | Jul 3 (45 weeks ago) |
Cost | $49 |
From | Columbia University via Coursera |
Instructors | Garud Iyengar, Ali Hirsa, Martin Haugh |
Download Videos | On all desktop and mobile devices |
Language | English |
Subjects | Social Sciences Business |
Tags | Social Sciences Business Finance Economics |
Get a Reminder
Similar Courses
Careers
An overview of related careers and their average salaries in the US. Bars indicate income percentile.
Real Estate Agent/Transaction Coordinator/Mentor $29k
Realtor - Transaction Coordinator $37k
Assistant Transaction Coordinator - Mortgage Lending $44k
Licensed Transaction Coordinator $48k
Transaction Coordinator/ Realtor $52k
Accountant / Transaction Coordinator $58k
Transaction Accountant $72k
Transaction Management Specialist Manager $92k
Transaction and Marketing Coordinator Manager $94k
Transaction Quality Assurance Team... $106k
Vice Associate President Transaction Advisory Services $110k
Analyst, Transaction Advisory Services Manager $149k
Write a review
Your opinion matters. Tell us what you think.
Please login to leave a review
Rating | Not enough ratings |
---|---|
Length | 7 weeks |
Effort | 5-8 hours/week |
Starts | Jul 3 (45 weeks ago) |
Cost | $49 |
From | Columbia University via Coursera |
Instructors | Garud Iyengar, Ali Hirsa, Martin Haugh |
Download Videos | On all desktop and mobile devices |
Language | English |
Subjects | Social Sciences Business |
Tags | Social Sciences Business Finance Economics |
Similar Courses
Sorted by relevance
Like this course?
Here's what to do next:
- Save this course for later
- Get more details from the course provider
- Enroll in this course