Columbia University - Optimization Methods in Asset Management
- Offered byCoursera
Optimization Methods in Asset Management at Coursera Overview
Duration | 14 hours |
Start from | Start Now |
Total fee | Free |
Mode of learning | Online |
Difficulty level | Intermediate |
Official Website | Explore Free Course  |
Credential | Certificate |
Optimization Methods in Asset Management at Coursera Highlights
- Flexible deadlines Reset deadlines in accordance to your schedule.
- Shareable Certificate Earn a Certificate upon completion
- 100% online Start instantly and learn at your own schedule.
- Course 3 of 5 in the Financial Engineering and Risk Management Specialization
- Intermediate Level Students should have intermediate to advanced undergraduate courses in: (i) probability and statistics, (ii) linear algebra, and (iii) calculus.
- Approx. 14 hours to complete
- English Subtitles: English
Optimization Methods in Asset Management at Coursera Course details
- 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.
Optimization Methods in Asset Management at Coursera Curriculum
Course Overview
Course Overview
Course Overview
About Us
Mean-Variance Analysis and CAPM
Model Setup
Optimal Portfolios and Efficient Frontier
Constructing the Optimal Portfolio in Excel
Constructing the Efficient Frontier
Two Fund Theorem: Efficient Portfolio with Risky Assets
One Fund Theorem: Efficient Portfolio with Risk-Free Asset
Sharpe Optimal Portfolio
Introduction to Capital Asset Pricing Model (CAPM)
Security Market Line: Connecting CAPM to Regression
Constructing the Sharpe Optimal Portfolio in Excel
Constructing the Security Market Line in Excel
Lesson Supplements
2.1 Self-check Quiz
2.2 Self-check Quiz
2.3 Self-check Quiz
2.4 Self-check Quiz
Assignment week
Quiz Instructions
Assignment Instruction
Assignment 1 Excel Answers
Mean-Variance Analysis and CAPM Problem Set
Mean Variance Optimization and Sharpe Ratio
Practical Issues in Implementing Mean Variance
Implementation Difficulties with Mean Variance
Methods to Improve the Estimated Frontier
Leveraged ETFs and Their Returns
Volatility and ETF Returns
Beyond Variance: VaR & CVaR
VaR & CVaR with Different Return Distributions
Performance Evaluation of Fund Managers 1
Performance Evaluation of Fund Managers 2
How to Compute Average Returns
Examples of Biased Average Estimates
Survivorship Bias and Data Snooping
Other Examples of Statistical Biases & Difficulties
Lesson Supplements
4.1 Self-check Quiz
Graded Quiz
4.2 Self-check Quiz
4.3 Self-check Quiz
Graded quiz
Assignment Week
Quiz Instructions
Assignment Instruction
Solutions for ?More about Portfolio Optimization?
Practical Issues in Implementing Mean Variance Problem Set
More about Portfolio Optimization
VaR and CVaR
Mean-CVaR Frontier (Optional)
Other Applications of Financial Engineering
Liquidity and Trading Costs Functions
Liquidity and Portfolio Execution
Optimal Execution
Portfolio Execution: Cross-Asset Price Impact
Portfolio Execution: Order and Pool Types
Optimal Execution in Excel 1
Optimal Execution in Excel 2
Lesson Supplements
6.1 Self-check Quiz
6.2 Self-check Quiz
Graded Quiz
Optimization Methods in Asset Management at Coursera Admission Process
Important Dates
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