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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
TA Discussion
Exercises
- Exercise - Replicating Regressions
- Decomposing Private Equity
Solutions
- Solution - Replicating Regressions
- Solution - Decomposing Private Equity
Case Study
- ProShares Replication
- Solution - ProShares Replication

Dynamics

Barnstable
Barnstable
Value at Risk (VaR)
Time Diversification
TA Discussion
Appendix
- Coherent Risk Measures
Exercises
- Exercise - VaR
Solutions
- Solution - VaR
Case Study
- Barnstable and Long-Run Risk
- Solution to Barnstable and Long-Run Risk

The CAPM

The CAPM
CAPM on 12 Industry Portfolios
The CAPM
CAPM on 49 Sector Portfolios
TA Discussion - CAPM
Appendix
- Fundamental Theorem of Asset Pricing
- Fama-MacBeth
Exercises
- Compensated Risk
Solutions
- Compensated Risk
Case Study
- DFA and Factor Investing
- Statistics of the DFA Factors

Multi-factor Pricing Models

Multifactor Pricing
Linear Factor Pricing Models
Multifactor Pricing
TA Review - Multi-Factor Models
Appendix
- Extra - Factor Models and the Tangency
- Technical Addendum
Exercises
- Single-Stock Factor Pricing
Solutions
- Solution - Single-Stock Factor Pricing
Case Study
- Smart Beta and Factor Investing
- Solution to Smart Beta Factors

Momentum and Misc

TA Review 6 - Factor Pricing and Momentum
Exercises
- Reversals
Solutions
- Solution - Reversals
Case Study
- Momentum Strategies
- Solution - AQR Momentum Strategies

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

Open Midterm 1
Solution - Open Midterm 1
Solutions - Closed Midterm 1
Open Midterm 2
Solution - Open Midterm 2
Solutions - Closed Midterm 2
Questions - Open Final Exam
Solution - Open Final Exam
Solutions - Closed Final

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Multifactor Pricing

Multifactor Pricing#

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Statistics of the DFA Factors

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Linear Factor Pricing Models

By Mark Hendricks

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