Balancing financial risks vs returns by the use of asset diversification is one of the fundamental tasks of quantitative financial management. This course is devoted to the use of mathematical optimization and statistics to allocate assets, to construct and manage portfolios and to measure and manage the resulting risks. The fist part of the course covers Markowitz’s mean-variance optimization and efficient frontiers, Sharpe’s single index and capital asset pricing models, arbitrage pricing theory, structural and statistical multifactor models, risk allocation and risk budgeting. The second part of the course is devoted to the intertwining of optimization and statistical methodologies in modern portfolio management, including resampled efficiency, robust and Bayesian statistical methods, the Black-Litterman model and robust portfolio optimization.
MA 574: Portfolio Valuation and Risk Management
Department