Analysing returns-Section 1- Fundamentals of risk and returns
Welcome video
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Material at your disposal
Material for the Lab Sessions
Module 1- Key points
Installing Anaconda
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Fundamentals of Returns
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Lab Session-Basics of returns
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Measures of Risk and Reward
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Lab Session-Risk Adjusted returns
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Measuring Max Drawdown
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Lab Session-Drawdown
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Analysing returns-Section 2- Beyond the Gaussian case:Extreme risk estimates
Deviations from Normality
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INCORRECT STATEMENT IN “DEVIATION FROM NORMALITY” VIDEO
Lab Session-Building your own modules
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Downside risk measures
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Lab Session-Deviations from Normality
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Estimating VaR
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Lab Session-Semi Deviation, VAR and CVAR
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Semi Deviation
Before the Quiz
An Introduction to Portfolio Optimization-Section 1-Introduction to Optimization and The Efficient Frontier
Module 2 - Key points
The only free lunch in Finance
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Lab Session-Efficient frontier-Part 1
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Markowitz Optimization and the Efficient Frontier
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Applying quadprog to draw the efficient Frontier
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Lab Session-Asset Efficient Frontier-Part 2
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Lab Session-Applying Quadprog to Draw the Efficient Frontier
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An Introduction to Portfolio Optimization-Section 2-Implementing Markowitz
Fund Separation Theorem and the Capital Market Line
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Lab Session-Locating the Max Sharpe Ratio Portfolio
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Lack of robustness of Markowitz analysis
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Lab Session-Plotting EW and GMV on the Efficient Frontier
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Beyond Diversification-Section 1
Module 3 - Key points
Limits of diversification
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Lab session- Limits of Diversification-Part1
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Lab session-Limits of diversification-Part 2
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An introduction to CPPI - Part 1
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An introduction to CPPI - Part 2
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Lab session-CPPI and Drawdown Constraints-Part1
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Lab session-CPPI and Drawdown Constraints-Part2
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Simulating asset returns with random walks
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Beyond Diversification-Section 2
Monte Carlo Simulation
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Lab Session-Random Walks and Monte Carlo
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Analyzing CPPI strategies
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Lab Session-Installing IPYWIDGETS
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ipywidgets installation - info
Designing and calibrating CPPI strategies
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Lab session - interactive plots of monte Carlo Simulations of CPPI and GBM-Part1
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gbm function
Lab session - interactive plots of monte Carlo Simulations of CPPI and GBM-Part2
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Instruction prior to begin the module 3 graded quizz
Introduction to Asset-Liability Management-Section 1
Module 4 - Key points
Dynamic Liability-Driven Investing Strategies: The Emergence Of A New Investment Paradigm For Pension Funds?
From Asset Management to Asset-Liability Management
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Lab Session-Present Values,liabilities and funding ratio
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Liability hedging portfolios
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Lab Session-CIR Model and cash vs ZC bonds
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Liability-driven investing (LDI)
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Lab Session-Liability driven investing
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Liability-Driven-Investing
Introduction to Asset-Liability Management-Section 2
Choosing the policy portfolio
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Lab Session-Monte Carlo simulation of coupon-bearing bonds using CIR
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Beyond LDI
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Lab Session-Naive risk budgeting between the PSP & GHP
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Liability-friendly equity portfolios
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Lab Session-Dynamic risk budgeting between PSP & LHP
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Instruction prior to begin module 4 graded quiz
To be continued (1)