Course Language:
English
Course Objectives:
The course content aims to introduce and familiarize the reader with market risk models and portfolio optimization techniques suggested in the literature. These more recently proposed methods are illustrated with code examples written in R, a freely available software environment for statistical computing.
Course Content:
The lectures in week order are as follows: Introduction, Technology, Financial Market Data, Measurement Risk, Modern Portfolio Theory, Appropriate Distributions for Returns, Excess Value Theory, Modeling of Volatility, Modeling of Dependency, Strong Portfolio Optimization, Rethinking Diversification, Risk-Optimal Portfolios, Tactical Asset Distribution and Probabilistic Utility.
Teaching Methods:
1: Lecture, 2: Question-Answer, 3: Discussion, 4: Simulation, 5: Case Study
Assessment Methods:
A: Testing, B: Experiment, C: Homework, Q: Quiz