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Portfolio and Risk Management

Introduction

Notation
Related Readings and Media
Textbooks
Appendix
- Data Dictionary

Risk and Return

Risk and Return Metrics
Optimizing Risk and Return
MV of S&P500
Appendix
- MV Details
- Optimization via Regression
Exercises
Solutions
Case Study

Linear Factor Decomposition

Hedging and Tracking
Dimension Reduction
Appendix
- Tobias Tip
- TA Discussion
Exercises
- Exercise - Replicating Regressions
- Decomposing Private Equity
Solutions
- Replicating Regressions_OUTPUT
- Decomposing PE_OUTPUT
Case Study
- ProShares Replication
- Solution to ProShares Replication_OUTPUT

Dynamics

Barnstable
Value at Risk (VaR)
Time Diversification
Appendix
Exercises
- Exercise - VaR
Solutions
- VaR of Equity Portfolio_OUTPUT
Case Study
- Barnstable and Long-Run Risk
- Solution to Barnstable_OUTPUT

The CAPM

The CAPM
CAPM on 12 Industry Portfolios
CAPM on 49 Sector Portfolios
Appendix
Exercises
- Compensated Risk
Solutions
- Compensated Risk_OUTPUT
Case Study
- DFA and Factor Investing
- Statistics of the DFA Factors_OUTPUT

Projects

Practical Optimization
Managing Tail Risk

Multifactor Pricing Models

Multifactor Pricing
Linear Factor Pricing Models
Multifactor Pricing
Appendix
Exercises
- Single-Stock Factor Pricing
- Reversals
Solutions
- Single-Stock Factor Pricing_OUTPUT
- Reversal Factor_OUTPUT
Case Study

Forecasting Returns

Forecasting
Slides - Forecasting
Long-Horizon Prediction with Persistent Signals
TA Review - Forecasting
Exercises
- Forecasting with LFPM's
Solutions
- Forecasting SPY_OUTPUT
Case Study

Carry and Forecasting

TA Review
Exercises
- Exercise - Forecasting with Fundamentals
Solutions
- Forecasting with Fundamentals_OUTPUT
Case Study

Managed Funds

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

Exams

Midterm - 2026-Winter
Solutions - Midterm - 2026-Winter
Appendix

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X.2. Tobias Tip

X.2. Tobias Tip#

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TA Review 3, VaR and Rolling Risk Measures

By Mark Hendricks

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