Learn about the fundamentals of investment risk and financial return distributions.

Financial returns

Financial timeseries data

Calculating financial returns

Return distributions

Mean, variance, and normal distribution

First moment: Mu

Second moment: Variance

Annualizing variance

Skewness and kurtosis

Third moment: Skewness

Fourth moment: Kurtosis

Statistical tests for normality

Univariate Investment Risk and Returns

Level up your understanding of investing by constructing portfolios of assets to enhance your risk-adjusted returns.

Portfolio composition and backtesting

Calculating portfolio returns

Equal weighted portfolios

Market-cap weighted portfolios

Correlation and co-variance

The correlation matrix

The co-variance matrix

Portfolio standard deviation

Markowitz portfolios

The efficient frontier

Sharpe ratios

The MSR portfolio

The GMV portfolio

Portfolio Investing

Learn about the main factors that influence the returns of your portfolios and how to quantify your portfolio's exposure to these factors.

The Capital Asset Pricing model

Excess returns

Calculating beta using co-variance

Calculating beta with CAPM

Adjusted R-squared

Alpha and multi-factor models

The Fama French 3-factor model

p-values and coefficients

Economic intuition in factor modeling

The efficient market and alpha

Expanding the 3-factor model

The 5-factor model

Alpha vs R-squared

Factor Investing

In this chapter, you will learn two different methods to estimate the probability of sustaining losses and the expected values of those losses for a given asset or portfolio of assets. 

Mengestimasi risiko ekor

Drawdown historis

Value at Risk historis

Expected shortfall historis

Ekstensi VaR

Mengubah kuantil VaR dan CVaR

VaR Parametrik

Skala estimasi risiko

Jalan acak

Simulasi random walk

Simulasi Monte Carlo

VaR Monte Carlo

Memahami risiko

Value at Risk

All returns (2017)

Efficient Frontier Portfolios

Fama-French factors

Microsoft prices

ETF of oil prices (UFO)

Kursus ini akan mengajarkan Anda cara mengevaluasi risiko dan imbal hasil portofolio dasar seperti analis kuantitatif di Wall Street. Ini adalah langkah paling krusial menuju kemampuan untuk sepenuhnya mengotomatisasi proses konstruksi dan pengelolaan portofolio Anda. Temukan faktor-faktor yang mendorong imbal hasil portofolio Anda, bangun portofolio ekuitas berbobot kapitalisasi pasar, dan pelajari cara memprakirakan serta melakukan lindung nilai terhadap risiko pasar melalui pembangkitan skenario.

Introduction to Financial Concepts in Python

Manipulating Time Series Data in Python

Evaluasi risiko dan imbal hasil portofolio, buat portofolio ekuitas, dan pelajari cara lindung nilai risiko.

Mengestimasi risiko ekor

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