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.

Het Capital Asset Pricing-model

Overschotrendementen

Beta berekenen met covariantie

Bèta berekenen met CAPM

Adjusted R-squared

Alpha- en multifactormodellen

Het Fama-French 3-factorenmodel

p-waarden en coëfficiënten

Economische intuïtie in factormodellen

De efficiënte markt en alfa

Het 3-factorenmodel uitbreiden

Het 5-factorenmodel

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. 

Estimating tail risk

Historical drawdown

Historical value at risk

Historical expected shortfall

VaR extensions

Changing VaR and CVaR quantiles

Parametric VaR

Scaling risk estimates

Random walks

A random walk simulation

Monte Carlo simulations

Monte Carlo VaR

Understanding risk

Value at Risk

All returns (2017)

Efficient Frontier Portfolios

Fama-French factors

Microsoft prices

ETF of oil prices (UFO)

In deze cursus leer je basisrisico en rendement van een portefeuille te evalueren zoals een quantitative analyst op Wall Street. Dit is de belangrijkste stap richting het volledig automatiseren van je processen voor portefeuilleconstructie en -beheer. Ontdek welke factoren je portefeuillerendement aansturen, bouw op marktkapitalisatie gewogen aandelenportefeuilles, en leer hoe je marktrisico kunt voorspellen en afdekken via scenariogeneratie.

Introduction to Financial Concepts in Python

Manipulating Time Series Data in Python

Evalueer portefeuillerisico en rendement, bouw marktkapitaalgewogen portefeuilles en leer risico's afdekken.

Het 3-factorenmodel uitbreiden

Create Your Free Account