Portfolio Selection

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We develop statistical measures of risk and expected return and review the historical record on risk-return patterns across various asset classes. Module 2: Portfolio construction and diversification -In this module, we build on the tools from the previous module to develop measure of portfolio risk and return. We define and distinguish between the different sources of risk and discuss the concept of diversification: how and why putting risky assets together in a portfolio eliminates risk that yields a portfolio with less risk than its components.

Module 3: Mean-variance preferences -In this module, we describe how investors make choices.


Online Portfolio Selection: Principles and Algorithms - CRC Press Book

Specifically, we look at how utility functions are used to express preferences. Module 4: Optimal capital allocation and portfolio choice -In this module, you will learn about mean-variance optimization: how to make optimal capital allocation and portfolio choice decisions when investors have mean-variance preferences.

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This was one of the ground-breaking ideas in finance. You will also have an opportunity to apply these techniques to a numerical example. This module is slightly more technical than the others.

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Stick with it… you will not regret it! Module 5: Equilibrium asset pricing models -In this module, we build on the insights obtained from modern portfolio theory to understand how risk and return are related in equilibrium.

CAPM - What is the Capital Asset Pricing Model

We first look at the main workhorse model in finance, the Capital Asset Pricing Model and discuss the expected return-beta relationship. We then turn our attention to multi-factor models, such as the Fama-French three-factor model.

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  3. Streamline portfolio selection and API sourcing with Newport;
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  5. Taught by Arzu Ozoguz. On the contrary to the typical portfolio approach incorporating expected return and variance, presented method relies on market momentum analysis and stock timing using selected technical indicators.

    Dynamic Portfolio Selection by Augmenting the Asset Space

    Article :. DOI: Need Help? Show Summary Details. More options …. Dependence Modeling.

    • PORTFOLIO SELECTION* - Markowitz - - The Journal of Finance - Wiley Online Library?
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    • Module 2: Portfolio construction and diversification.

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