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Intro to portfolio management in R – Part II
September 7 @ 11:00 am - September 8 @ 5:00 pm
This two-day course builds on Introduction to portfolio management in R – Part I. In this second part of the course, the students will be exposed to the collection of tools and techniques by which a risk-averse investor may construct an “optimal portfolio”. Topics include quantitative portfolio construction and optimization, the CAPM and arbitrage pricing theory. The course will blend theory and applications to actual financial time series. A tentative topic outline is included below. As a further pre-requisite students are expected to be able to work independently in R as well as be familiar with the majority of the topics indicated below. Please get in touch if you are not sure you satisfy these pre-requisites.
- Optimal portfolio construction;
- Capital Asset Pricing Model (CAPM);
- Arbitrage Pricing Theory (APT);
- Co-variance, Co-skewness and Co-kurtosis.
- Beta-Covariance, Beta Co-skewness and Beta-Kurtosis.
9.30 – 10.30: Arrival and participants registration
10.30 – 13.00: Lecture
13:00 – 14:00 : Lunch (provided)
14:00 – 15:30 : Tutorials
15.30 – 16:00 : Coffee break (provided)
16:00 – 17:00 : Lecture
12:30-13:30 : Lunch (provided)
13:30- 15:00 : Tutorials
15.00-15:30 : Coffee break (provided)
15:30-17:00 : Lecture
Price includes (where specified) refreshments, teaching material and course attendance (2 days).
For more information e-mail: email@example.com