Throughout the course, instructor will guide you to
learn about essential components of modern investment theory such as return,
risk and portfolio optimization. When these concepts are delivered, statistical
technique and programming using open source language R will be introduced.
Students will do the assignments every week using actual securities data from
Yahoo Finance. This course is considered as the very first course in
quantitative investing. There will be no prerequisite other than high school
level mathematics.
Overview
Syllabus
- 강의소개
- Course Description
- Lecturer Profile
- Learning Objectives
- Lecture Schedule
- Evaluation and Scoring
- Q&A
- Week 1 : Knowing the Source
- Learning Objectives
- (VIDEO) 1. World financial markets
- (VIDEO) 2. Where do information come from?
- Problem Set
- Reading Materials
- WEEK1 Discussion
- Week 2 : Securities analysis using data
- Learning Objectives
- (VIDEO) 1. Investment return
- (VIDEO) 2. Investment risk
- Problem Set
- Reading Materials
- WEEK2 Discussion
- Week 3 : Capital Allocation
- Learning Objectives
- (VIDEO) 1. Allocation with risk-free and risky financial assets
- (VIDEO) 2. Allocation within risky assets
- Problem Set
- Reading Materials
- WEEK3 Discussion
- Week 4 : Understanding Market Risk
- Learning Objectives
- (VIDEO) 1. Index model
- (VIDEO) 2. Tools to construct index model
- Problem Set
- Reading Materials
- WEEK4 Discussion
- Week 5 : Valuing Securities
- Learning Objectives
- (VIDEO) 1. Capital Asset Pricing model
- (VIDEO) 2. Arbitrage Pricing Model
- Problem Set
- Reading Materials
- WEEK5 Discussion
- Week 6 : Constructing an Investment Portfolio
- Learning Objectives
- (VIDEO) 1. Markowitz portfolio theory
- (VIDEO) 2. Mean-variance optimization
- Problem Set
- Reading Materials
- WEEK6 Discussion
- Final Exam
- Final Exam
- 期末考试
Taught by
Youngju Nielsen
