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Portfolio Selection and Risk Management
  • Level Foundation
  • المدة 23 ساعات hours
  • الطبع بواسطة Rice University
  • Offered by

عن

When an investor is faced with a portfolio choice problem, the number of possible assets and the various combinations and proportions in which each can be held can seem overwhelming. In this course, you'll learn the basic principles underlying optimal portfolio construction, diversification, and risk management. You'll start by acquiring the tools to characterize an investor's risk and return trade-off. You will next analyze how a portfolio choice problem can be structured and learn how to solve for and implement the optimal portfolio solution. Finally, you will learn about the main pricing models for equilibrium asset prices. Learners will: - Develop risk and return measures for portfolio of assets - Understand the main insights from modern portfolio theory based on diversification - Describe and identify efficient portfolios that manage risk effectively - Solve for portfolio with the best risk-return trade-offs - Understand how risk preference drive optimal asset allocation decisions - Describe and use equilibrium asset pricing models.

الوحدات

Introduction and welcome to class

    • 1 Videos
    • 4 Readings
Show info about module content

1 Videos

  • Introduction & Welcome to class

4 Readings

  • Grading Policy
  • How to use discussion forums
  • Meet & Greet: Get to know your classmates
  • Pre-Course Survey

Risk & Return: Measuring returns

    • 3 Videos
    • 2 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Risk and return: Measuring returns

3 Videos

  • Overview – No free lunches! Risk and return trade-off
  • Measuring returns: Geometric average returns
  • Measuring returns: Arithmetic average returns

2 Readings

  • Lecture handouts: Risk and return: Measuring returns
  • Risk and return: Measuring returns Quiz Solutions

Risk & Return: Measuring risk

    • 3 Videos
    • 2 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Risk & Return: Measuring risk

3 Videos

  • Measuring risk: Volatility of returns
  • Alternative measures of risk
  • More on measuring risk and risk measures

2 Readings

  • Lecture handouts: Risk and return: Measuring risk
  • Risk & Return: Measuring risk Quiz solutions

Risk & Return: Historical Record

    • 2 Videos
    • 2 Readings
    • 1 PeerReview
Show info about module content

1 Peer Review

  • Measuring risk and return

2 Videos

  • Measuring risk and return: Illustration with four stocks
  • Historical record on risk-return patterns

2 Readings

  • Lecture handouts: Risk and return: Historical record
  • Investing: Stocks for the long run (optional)

Summary

    • 1 Videos
    • 1 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Module 1: Risk & Return

1 Videos

  • Summary

1 Readings

  • Module 1: Risk & Return Solutions

Introduction

    • 1 Videos
Show info about module content

1 Videos

  • Introduction: Measuring portfolio risk and return

Portfolio risk and return: Measuring expected portfolio return

    • 1 Videos
    • 2 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Measuring expected portfolio return

1 Videos

  • Measuring the expected return of a portfolio

2 Readings

  • Lecture handouts: Measuring portfolio expected return
  • Measuring expected portfolio return Quiz solutions

Portfolio risk and return: Measuring portfolio volatility

    • 5 Videos
    • 2 Readings
    • 1 PeerReview
    • 1 Assignment
Show info about module content

1 Assignment

  • Measuring portfolio volatility

1 Peer Review

  • Measuring portfolio returns and volatility

5 Videos

  • Let’s review how we measure risk for a single asset
  • Finding the volatility of a portfolio return
  • Portfolio volatility: Another example
  • Measuring the co-movement between securities
  • Putting it all together… portfolio risk and diversification

2 Readings

  • Lecture handouts: Measuring portfolio volatility
  • Measuring portfolio volatility Quiz solutions

Diversification and portfolio risk

    • 6 Videos
    • 6 Readings
    • 1 Discussion
    • 1 PeerReview
    • 1 Assignment
Show info about module content

1 Assignment

  • Diversification and portfolio risk

1 Peer Review

  • Constructing mean-variance frontier for two risky assets

1 Discussions

  • Should you add emerging markets equities to your portfolio?

6 Videos

  • Diversification and portfolio risk
  • Diversification: A graphical illustration with two assets
  • Diversification: A graphical illustration with three assets
  • Diversification: Systematic risk and idiosyncratic risk
  • Diversification: An illustration from international equity markets (US and Japan only)
  • Mean-variance frontier and efficient portfolios: International equity investment example (G5 countries)

6 Readings

  • Accompanying spreadsheets for "Diversification: An illustration from international equity markets (US and Japan only)"
  • A Note on using EXCEL Solver
  • Lecture handouts: Diversification and portfolio risk
  • Lecture handouts: Mean-variance frontier and efficient portfolios: International equity investment example
  • Diversification and portfolio risk Quiz solutions
  • Equity investing: Globalization and diversification (optional)

Summary

    • 3 Videos
    • 2 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Module 2: Portfolio construction and diversification

3 Videos

  • Are you diversified adequately?
  • Mean-variance portfolio analysis
  • Summary

2 Readings

  • Lecture handouts: Are you adequately diversified?
  • Module 2: Portfolio construction and diversification- Solutions

Preferences: Utility and risk aversion

    • 3 Videos
    • 3 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Utility and risk aversion

3 Videos

  • Introduction
  • Preferences: Utility functions
  • Risk aversion

3 Readings

  • Lecture handouts: Utility and risk aversion
  • A note on measuring risk aversion and certainty equivalent
  • Utility and Risk aversion Quiz solutions

Portfolio choice problem with mean-variance preferences

    • 3 Videos
    • 2 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Portfolio choice with mean-variance preferences

3 Videos

  • Expected utility
  • Mean-variance preferences
  • Portfolio choice problem with mean-variance preferences: A graphical illustration with equity and bond data

2 Readings

  • Lecture handouts: Mean-variance preferences
  • Portfolio choice with mean-variance preferences quiz solutions

Summary

    • 1 Videos
    • 2 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Module 3: Mean-variance preferences

1 Videos

  • Summary

2 Readings

  • Measure your own risk tolerance
  • Module 3: Mean-variance preferences- Solutions

Mean-variance optimization

    • 4 Videos
    • 4 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Mean-variance optimization

4 Videos

  • Introduction
  • Capital allocation line
  • Solving for the optimal capital allocation
  • Optimal capital allocation example: U.S. equities and Treasuries

4 Readings

  • A note on optimal capital allocation
  • Accompanying spreadsheets for "Optimal Capital Allocation Example: US Equities and Treasuries"
  • Lecture handouts: Mean-variance optimization
  • Mean-variance optimization Quiz solutions

Mean-variance optimization: Optimal risky portfolio choice

    • 3 Videos
    • 6 Readings
    • 1 PeerReview
Show info about module content

1 Peer Review

  • Optimal asset allocation and portfolio choice

3 Videos

  • Finding the optimal risky portfolio: Maximizing the Sharpe ratio
  • Main insight: The optimal risky portfolio is independent of preferences
  • Finding the optimal risk portfolio when you have multiple risky securities

6 Readings

  • Analytical solution to MVE portfolio (two risky assets)
  • A note on finding the mean variance efficient portfolio (Two risky assets)
  • Accompanying spreadsheets for "Finding the optimal risky portfolio: Maximizing the Sharpe ratio"
  • A note on finding the minimum variance frontier with multiple risky assets
  • Accompanying spreadsheet for finding minimum variance frontier with multiple risky assets
  • Lecture handouts: Optimal risky portfolio choice

Summary

    • 3 Videos
    • 2 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Optimal capital allocation and portfolio choice

3 Videos

  • Investment decision process
  • What’s wrong with mean-variance portfolio analysis?
  • Summary

2 Readings

  • Lecture handouts
  • Optimal capital allocation and portfolio choice- Solutions

Equilibrium asset pricing models: Capital Asset Pricing Model

    • 6 Videos
    • 4 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Equilibrium asset pricing models: Capital Asset Pricing Model

6 Videos

  • Introduction
  • From optimal portfolio choice to asset pricing models
  • Insight #1 from Capital Asset Pricing Model: Passive investing is efficient
  • Insight #2 from Capital Asset Pricing Model: What determines the market risk premium?
  • Beta and systematic risk
  • Capital Asset Pricing Model: Expected return-beta relationship

4 Readings

  • Lecture handouts: Equilibrium asset pricing models: Capital Asset Pricing Model
  • "The parable of money managers" (optional)
  • "The dying business of stock picking" WSJ (optional)
  • Equilibrium asset pricing models: Capital Asset Pricing Model Quiz solutions

Equilibrium asset pricing models: Multi-factor models

    • 2 Videos
    • 1 Readings
Show info about module content

2 Videos

  • Multi-factor models
  • Fama-French three-factor model

1 Readings

  • Lecture handouts: Equilibrium asset pricing models: Multi-factor models

Summary

    • 1 Videos
    • 2 Readings
    • 1 Assignment
Show info about module content

1 Assignment

  • Module 5 Quiz: Equilibrium asset pricing models

1 Videos

  • Summary

2 Readings

  • Module 5 Quiz: Equilibrium asset pricing models- Solutions
  • End-of-Course Survey

Auto Summary

"Portfolio Selection and Risk Management" is a foundational course within the Business & Management domain that delves into the principles of optimal portfolio construction, diversification, and risk management. Ideal for those looking to enhance their investment strategies, this course equips learners with the ability to characterize risk and return trade-offs, solve portfolio choice problems, and implement optimal portfolio solutions. Guided by expert instruction from Coursera, participants will explore modern portfolio theory, learning to develop risk and return measures, identify efficient portfolios, and understand how risk preferences influence asset allocation decisions. Additionally, the course covers key equilibrium asset pricing models. With a comprehensive duration of 1380 minutes, this course is available through the Starter subscription, making it accessible for beginners and investment enthusiasts aiming to build a strong foundation in portfolio management and risk assessment.

Arzu Ozoguz
Instructor

Arzu Ozoguz