Informações principais
Sobre o conteúdo
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.
Programa de estudos
- 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
Instrutores
- Eric Zivot - Economics Department
Criador do conteúdo
Founded in 1861, the University of Washington is one of the oldest state-supported institutions of higher education on the West Coast and is one of the preeminent research universities in the world.
Plataforma
A Coursera é uma empresa digital que oferece um curso on-line massivo e aberto, fundado pelos professores de computação Andrew Ng e Daphne Koller Stanford University, localizado em Mountain View, Califórnia.
O Coursera trabalha com as melhores universidades e organizações para disponibilizar alguns dos seus cursos on-line e oferece cursos em várias disciplinas, incluindo: física, engenharia, humanidades, medicina, biologia, ciências sociais, matemática, negócios, ciência da computação, marketing digital, ciência de dados. e outros assuntos.Cours
