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Optimization Methods in Asset Management(으)로 돌아가기

컬럼비아대학교의 Optimization Methods in Asset Management 학습자 리뷰 및 피드백

14개의 평가

강좌 소개

This course focuses on applications of optimization methods in portfolio construction and risk management. The first module discusses portfolio construction via Mean-Variance Analysis and Capital Asset Pricing Model (CAPM) in an arbitrage-free setting. Next, it demonstrates the application of the security market line and sharpe optimal portfolio in the exercises. The second module involves the difficulties in implementing Mean-Variance techniques in a real-world setting and the potential methods to deal with it. We will introduce Value at Risk (VaR) and Conditional Value at Risk (CVaR) as risk measurements, and Exchange Traded Funds (ETFs), which play an important role in trading and asset management. Typical statistical biases, pitfalls, and their underlying reasons are also discussed, in order to achieve better results when completing  real statistical estimation. The final module looks directly at real-world transaction costs modeling. It includes the basic market micro-structures including order book, bid-ask spread, measurement of liquidity, and their effects on transaction costs. Then we enrich Mean-Variance portfolio strategies by considering transaction costs....

최상위 리뷰

필터링 기준:

Optimization Methods in Asset Management의 2개 리뷰 중 1~2

교육 기관: Yi W

2022년 3월 5일

It would be nice if more reading materials or reference can be pointed to, for example, specific chapters of a book or a specific paper, or lecture notes.

교육 기관: Qihan L

2022년 1월 20일

T​he course overall is good. But the structure is kinda messy, and definitions used in assignments are not very clear sometimes.