Quantitative Risk Management: Linear Strategies

Related lectures (32)

Page 3 of 4

Explores asset pricing theorems and the Black-Scholes formula derivation in discrete time economies.

Covers risk and return tradeoffs in portfolios, diversification benefits, and the efficient frontier with multiple assets.

Covers copulas, Sklar's Theorem, types of copulas, and simulation of copulas for risk management.

Explores the CAPM, risk premiums, efficient portfolios, and market efficiency.

Covers copulas, dependence structures, simulation techniques, and properties of copula densities.

Explores the Capital Asset Pricing Model, estimating betas, performance evaluation, and empirical evidence.

Explores copulas, rank correlations, and tail dependence measures in risk management.

Explores asset pricing theory, market efficiency, risk-return relationship, and the efficient frontier.

Explores asset pricing models, risk-free assets, portfolio choice, and stochastic discount factors in PhD classes.

Covers mean-variance portfolio choice, factor models, APT, Sharpe ratio, size and value anomalies, Fama and French models, and factor search.