What you'll learn
- Optimize for the highest Sharpe ratio in a real data portfolio using Excel´s Solver Add-in and R´s fPortfolio package
- Understand and Operationalize Markowitz´s Portfolio Theory
- Calculate Variance and Sharpe ratio for a twenty-asset portfolio
- Compute Covariance and Correlation of two assets
- Calculate Value at Risk (VaR) of a Portfolio
- Learn basic Vector Algebra (Matrix Multiplication)
Requirements
- The course includes an introduction to vector algebra so the only requirement for the course is a basic knowledge of spreadsheets and R.
Who this course is for:
- The ideal students of this course are university students and professionals in numerical areas interested in pursuing a career as financial analysts or investing in risk assets.
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