Portfolio and Risk Analytics

3 credits · Graduate

The course aims to train students in hands-on statistical, optimization, and data analytics for quantitative portfolio and risk management. In addition, the course will introduce elements of financial markets and asset classes. The emphasis will be on computational methods such as variants of GARCH, Black-Litterman, conic optimization, Monte Carlo simulation for risk and optimization, factor modeling. Students will undertake computational assignments and a group project. They will also manage hypothetical portfolios throughout the course.