Part II · Returns, risk and portfolios¶
The second block of the course: describing random variables from data, testing what real returns look like, and building optimal portfolios under four different measures of risk.
| Topic | Exercise | Course no. |
|---|---|---|
| Distributions | Empirical distributions: CDF, histogram and moments | 95, 99, 100 |
| Simulating random variables | 103–110 | |
| Tools | Linear, quadratic and nonlinear programming | 112, 113, 115 |
| Returns | Linear and logarithmic returns | 117 |
| Are prices or returns stationary? Four Dow Jones stocks | 119 | |
| Portfolios | Mean-variance efficient frontier | 131 |
| How correlation shapes the frontier | 132 | |
| How much risk diversification removes | 134 | |
| Mean-MAD efficient frontier | 135 | |
| Mean-MaxLoss efficient frontier | 136 | |
| Risk measures | Value at Risk and Conditional VaR by simulation | 137–138 |
| Mean-CVaR efficient frontier | 139 |