Optimization Methods in Asset 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.
Monthly Subscription Starting at AED 99 + VAT
- Level Professional
- المدة 14 ساعات hours
- الطبع بواسطة Columbia University
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Offered by
عن
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.الوحدات
Course Overview
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1
Videos
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3
Readings
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1
Discussion
1
Discussions
- Week1 lecture
1
Videos
- Course Overview
3
Readings
- Course Overview
- About Us
- Academic Honesty Policy
Mean Variance Overview and in Excel
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3
Videos
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1
Readings
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1
Assignment
1
Assignment
- 2.1 Self-check Quiz
3
Videos
- Model Setup
- Optimal Portfolios and Efficient Frontier
- Constructing the Optimal Portfolio in Excel
1
Readings
- Lesson Supplements
Efficient Frontier
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2
Videos
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1
Assignment
1
Assignment
- 2.2 Self-check Quiz
2
Videos
- Constructing the Efficient Frontier
- Two Fund Theorem: Efficient Portfolio with Risky Assets
Mean Variance with a Risk-free Asset and Risk-free Frontier in Excel
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2
Videos
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1
Assignment
1
Assignment
- 2.3 Self-check Quiz
2
Videos
- One Fund Theorem: Efficient Portfolio with Risk-Free Asset
- Sharpe Optimal Portfolio
Capital Asset Pricing Model
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4
Videos
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1
Assignment
1
Assignment
- 2.4 Self-check Quiz
4
Videos
- 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
Review:
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1
Readings
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1
Assignment
1
Assignment
- Mean-Variance Analysis and CAPM Problem Set
1
Readings
- Quiz Instructions
Assignment 1
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2
Readings
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1
Discussion
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1
Assignment
1
Assignment
- Mean Variance Optimization and Sharpe Ratio
1
Discussions
- When Market Performs Badly
2
Readings
- Assignment Instruction
- Assignment 1 Excel Answers
Implementation Difficulties
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2
Videos
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1
Readings
2
Videos
- Implementation Difficulties with Mean Variance
- Methods to Improve the Estimated Frontier
1
Readings
- Lesson Supplements
Negative Exposures, Leveraged ETFs, and Beyond Variance
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4
Videos
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2
Assignment
2
Assignment
- 4.1 Self-check Quiz
- Graded Quiz
4
Videos
- Leveraged ETFs and Their Returns
- Volatility and ETF Returns
- Beyond Variance: VaR & CVaR
- VaR & CVaR with Different Return Distributions
Statistical Biases and Potential Pitfalls
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6
Videos
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3
Assignment
3
Assignment
- 4.2 Self-check Quiz
- 4.3 Self-check Quiz
- Graded quiz
6
Videos
- Performance Evaluation of Fund Managers 1
- Performance Evaluation of Fund Managers 2
- How to Compute Average Returns
- Examples of Biased Average Estimates
- Survivorship Bias and Data Snooping
- Other Examples of Statistical Biases & Difficulties
Practical Issues in Implementing Mean Variance Problem Set
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1
Readings
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1
Assignment
1
Assignment
- Practical Issues in Implementing Mean Variance Problem Set
1
Readings
- Quiz Instructions
Assignment 2
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2
Readings
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3
Assignment
3
Assignment
- More about Portfolio Optimization
- VaR and CVaR
- Mean-CVaR Frontier (Optional)
2
Readings
- Assignment Instruction
- Solutions for “More about Portfolio Optimization”
Liquidity, Trading Costs, and Portfolio Execution
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2
Videos
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1
Readings
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1
Assignment
1
Assignment
- 6.1 Self-check Quiz
2
Videos
- Liquidity and Trading Costs Functions
- Liquidity and Portfolio Execution
1
Readings
- Lesson Supplements
Optimal Execution and Portfolio Execution
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3
Videos
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1
Assignment
1
Assignment
- 6.2 Self-check Quiz
3
Videos
- Optimal Execution
- Portfolio Execution: Cross-Asset Price Impact
- Portfolio Execution: Order and Pool Types
Optimal Execution in Excel
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2
Videos
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1
Assignment
1
Assignment
- Graded Quiz
2
Videos
- Optimal Execution in Excel 1
- Optimal Execution in Excel 2
Auto Summary
"Optimization Methods in Asset Management" is a comprehensive course in the Business & Management domain, taught by Coursera. It delves into optimization techniques for portfolio construction and risk management, covering Mean-Variance Analysis, CAPM, VaR, CVaR, and ETFs. The course also addresses real-world transaction costs, market micro-structures, and statistical biases. Designed for professionals, it spans 840 minutes and offers Starter and Professional subscription options. Ideal for those seeking advanced skills in asset management and trading.
Garud Iyengar
Ali Hirsa
Martin Haugh