开始时间: 12/21/2023 持续时间: 5-8 hours/week
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所在平台: Coursera |
课程主页: https://www.coursera.org/learn/financial-engineering-optimizationmethods
课程评论：没有评论
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.
Name:Course Overview
Description:
Name:Mean-Variance Analysis and CAPM
Description:In this module, we will cover topics related to Mean-Variance Analysis and Capital Asset Pricing Model (CAPM), which is a fundamental theory in portfolio selection. CAPM can be used to price risky assets in the market. We will start by utilizing Mean-Variance Analysis to construct an optimal portfolio in an arbitrage-free market. Then we will introduce the efficient frontier and capital market line. Finally, we use excel to implement Mean-Variance optimization and construct a portfolio with the highest Sharpe ratio. In practice, Mean-Variance Analysis and CAPM can also be extended in other pricing techniques such as factor model. In the assignment, you will be required to apply Mean-Variance Analysis to do portfolio selection, Sharpe ratio computation, and risky asset pricing, etc.
Name:Assignment week
Description:
Name:Practical Issues in Implementing Mean Variance
Description:In this module, we show the difficulties in implementing Mean-Variance and provide possible methods to improve the estimated frontier by revising constraints and amending parameter estimation. VaR and CVaR are introduced as different measurements about risk beyond variance. In the second lesson, we will also learn common ETFs and their returns and volatility. ETFs play an important role in trading and asset management because of their features at low costs, tax efficiency, and stock-like behaviors. In the last lesson, we will introduce some facts about typical statistical biases and pitfalls, as well as underlying reasons. This can remind us to be more careful when doing the statistical estimation. If you have any questions, you should reach out to us on the discussion forum.
Name:Assignment Week
Description:
Name:Other Applications of Financial Engineering
Description:In the real world, transaction costs are charged when we buy or sell assets in the market. How to model transaction cost is a key question in portfolio execution. In this module, we learn about 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 taking transaction costs into consideration. By learning this module, you will be better prepared to deal with real-world investment problems.
本课程侧重于优化方法在投资组合构建和风险管理中的应用。第一个模块通过均值方差分析和资本资产定价模型 (CAPM) 在无套利环境中讨论投资组合构建。其次，演示了证券市场线在练习中的应用和锐化最优组合。第二个模块涉及在现实世界环境中实施平均方差技术的困难以及处理它的潜在方法。我们将引入风险价值 (VaR) 和条件风险价值 (CVaR) 作为风险衡量指标，以及在交易和资产管理中发挥重要作用的交易所交易基金 (ETF)。还讨论了典型的统计偏差、陷阱及其根本原因，以便在完成实际统计估计时获得更好的结果。最后一个模块直接着眼于现实世界的交易成本建模。它包括基本的市场微观结构，包括订单簿、买卖差价、流动性衡量及其对交易成本的影响。然后我们通过考虑交易成本来丰富平均方差投资组合策略。
