Lecture

Portfolio Management: Risk and Return

In course

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Description

This lecture covers the concepts of rate of return on a portfolio, valuation under uncertainty, characterizing the distribution of portfolio returns, estimating moments from time-series data, and historical performance of asset classes. It also discusses mean-variance utility, indifference curves, optimal mean-variance portfolio choice, and diversification benefits. The instructor explains the importance of diversification benefits depending on correlation and illustrates the mean-variance efficient frontier in the two-asset case.

Instructors (2)

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Official source

https://mediaspace.epfl.ch/media/0_nhxmnevf

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Business

Finance: Corporate finance

Economics

Microeconomics: Financial economics

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