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Portfolio and Risk Management

Introduction

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

Dynamics

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

The CAPM

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

Multi-factor Pricing Models

Linear Factor Pricing Models
Appendix
- Extra - Factor Models and the Tangency
Exercises
- Single-Stock Factor Pricing
Solutions
- Single-Stock Factor Pricing_OUTPUT
Case Study
- Smart Beta and Factor Investing
Slides
- Multifactor Pricing

Cumulative Returns

Time Diversification
Case Study
- Momentum Strategies

Forecasting Returns

Forecasting
Case Study
- GMO Forecasting

Exams

Open Midterm 1
Solution - Open Midterm 1
Solutions - Closed Midterm 1

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Slides: The CAPM

Slides: The CAPM#

This section contains slide decks for The CAPM.

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Statistics of the DFA Factors

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The CAPM

By Mark Hendricks

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