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In this course, you will learn :
- In an arbitrage-free setting, discusses portfolio construction using Mean-Variance Analysis and the Capital Asset Pricing Model (CAPM).
- In the exercises, demonstrates the use of the security market line and sharpe optimal portfolio.
- Value at Risk (VaR) and Conditional Value at Risk (CVaR) are introduced as risk measurements, as are Exchange Traded Funds (ETFs), which play an important role in trading and asset management.
- In order to achieve better results when completing real statistical estimation, typical statistical biases, pitfalls, and their underlying causes are also discussed.
- The final module delves into real-world transaction cost modelling. It covers the fundamental market microstructures, such as the order book, bid-ask spread, liquidity measurement, and their effects on transaction costs.
Syllabus :
1. Mean-Variance Analysis and CAPM
- Optimal Portfolios and Efficient Frontier
- Constructing the Optimal Portfolio in Excel
- Constructing the Efficient Frontier
- Two Fund Theorem: Efficient Portfolio with Risky Assets
- One Fund Theorem: Efficient Portfolio with Risk-Free Asset
- Sharpe Optimal Portfolio
- Introduction to Capital Asset Pricing Model (CAPM)
- Security Market Line: Connecting CAPM to Regression
- Constructing the Sharpe Optimal Portfolio in Excel
- Constructing the Security Market Line in Excel
2. Practical Issues in Implementing Mean Variance
- Implementation Difficulties with Mean Variance
- Methods to Improve the Estimated Frontier
- Leveraged ETFs and Their Returns
- Volatility and ETF Returns
- Beyond Variance: VaR & CVaR
- VaR & CVaR with Different Return Distributions
- Performance Evaluation of Fund Managers
- How to Compute Average Returns
- Examples of Biased Average Estimates
- Survivorship Bias and Data Snooping
- Other Examples of Statistical Biases & Difficulties
