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Portfolio and Risk Management

Introduction

Notation
Textbooks
Related Readings and Media
Appendix
- Data Dictionary

Risk and Return

Risk and Return Metrics
Optimizing Risk and Return
MV of S&P500
Case Studies
- Harvard’s Endowment
- Solution - MV Optimization of the Harvard Endowment
Appendix
- MV Details
- Optimization via Regression
TA Reviews
- TA Review - Risk and Return
Exercises
Solutions
- Risk Metrics
- Unconstrained Optimization

Linear Factor Decomposition

Hedging and Tracking
LFD for Dimension Reduction
Case Studies
- ProShares Replication
- Solution - ProShares Replication
TA Reviews
Exercises
- Replicating Regressions
- Decomposing Private Equity
Solutions
- Replicating Regressions
- Decomposing PE

Dynamics

Value at Risk (VaR)
Comparing VaR Estimates
VaR by Filtered Historical Simulation
Time Diversification
Case Studies
- Barnstable and Long-Run Risk
- Solution - Barnstable and Long-Run Risk
Appendix
- Coherent Risk Measures
TA Reviews
Exercises
- VaR of Equity Portfolio
Solutions
- VaR of Equity Portfolio

The CAPM

The CAPM
CAPM on 12 Industry Portfolios
CAPM on 49 Sector Portfolios
Case Studies
- DFA and Factor Investing
- Solution - Statistics of the DFA Factors
Appendix
TA Reviews
- TA Review - CAPM
- Tobias Tip - CAPM
Exercises
- Compensated Risk

Multifactor Pricing Models

Multifactor Pricing
Linear Factor Pricing Models
Case Studies
- Smart Beta and Factor Investing
- AQR Momentum Strategies
Appendix
- Technical Addendum
- Extra - Factor Models and the Tangency
TA Reviews
Exercises
- Single-Stock Factor Pricing
- Reversals

Forecasting Returns

Forecasting
Slides - Forecasting
Long-Horizon Prediction with Persistent Signals
Market Timing
Case Studies
- GMO
TA Reviews
- TA Review - Forecasting
Exercises

Carry and Forecasting

Case Studies
- LTCM
- LTCM References
TA Reviews
- TA Review - Carry and Forecasting
Exercises
- Forecasting with Fundamentals

Managed Funds

Managed Funds
Tail Risk and Short-Term Capital Management
TA Reviews
- Managed Funds - TA Review

Exams

Midterm - 2026-Autumn
Solutions - Midterm - 2026-Autumn
Midterm - 2026-Winter
Solutions - Midterm - 2026-Winter
Final - 2026-Winter
Solutions - Final - 2026-Winter

Projects

Project Guidelines
Project Briefs

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Solutions - Midterm - 2026-Autumn

Solutions - Midterm - 2026-Autumn#

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By Mark Hendricks

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