Key Information
About the content
Learn mathematical and statistical tools and techniques used in quantitative and computational finance. Use the open source R statistical programming language to analyze financial data, estimate statistical models, and construct optimized portfolios. Analyze real world data and solve real world problems.
Syllabus
- Computing asset returns
- Univariate random variables and distributions
- Characteristics of distributions, the normal distribution, linear function of random variables, quantiles of a distribution, Value-at-Risk
- Bivariate distributions
- Covariance, correlation, autocorrelation, linear combinations of random variables
- Time Series concepts
- Covariance stationarity, autocorrelations, MA(1) and AR(1) models
- Matrix algebra
- Descriptive statistics
- histograms, sample means, variances, covariances and autocorrelations
- The constant expected return model
- Monte Carlo simulation, standard errors of estimates, confidence intervals, bootstrapping standard errors and confidence intervals, hypothesis testing , Maximum likelihood estimation, review of unconstrained optimization methods
- Introduction to portfolio theory
- Portfolio theory with matrix algebra
- Review of constrained optimization methods, Markowitz algorithm, Markowitz Algorithm using the solver and matrix algebra
- Statistical Analysis of Efficient Portfolios
- Risk budgeting
- Euler’s theorem, asset contributions to volatility, beta as a measure of portfolio risk
- The Single Index Model
- Estimation using simple linear regression
Instructors
- Eric Zivot - Economics Department
Content Designer
The University of Washington is a public research university in Seattle, Washington. Founded on November 4, 1861 as Territorial University, Washington is one of the oldest universities on the West Coast and was established in Seattle about a decade after the city's founding.
The university has a 703-acre main campus located in the city's University District, as well as campuses in Tacoma and Bothell. Overall, UW comprises more than 500 buildings and more than 20 million gross square feet of space, including one of the world's largest library systems with more than 26 academic libraries, art centres, museums, laboratories, lecture halls and stadiums.
Washington is the flagship institution of Washington State's six public universities. It is renowned for its medical, technical and scientific research.
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Coursera is a digital company offering massive open online course founded by computer teachers Andrew Ng and Daphne Koller Stanford University, located in Mountain View, California.
Coursera works with top universities and organizations to make some of their courses available online, and offers courses in many subjects, including: physics, engineering, humanities, medicine, biology, social sciences, mathematics, business, computer science, digital marketing, data science, and other subjects.
