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Portfolio and Risk Management

Introduction

Notation
10.3. Solutions - Closed Midterm 1
Appendix
- Data Dictionary
Slides
- 4.0. Slides - The CAPM

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

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

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

Binder
Colab

.ipynb

Solution - Compensated Risk

Solution - Compensated Risk#

# Output from previous execution

../_images/b5d3bb4839f6f642a0d15aaf795e571a0dd516bec6e47b52acb30371de28cdcf.png

../_images/f14650fb24a904e52dce9abce32f803ce448a12ac61f33189a5ac273892b08bf.png

../_images/a63c2aac7fe7b4ed3db883c5d8be59f452e477e21e472c0d24303cf771f94f9c.png

../_images/bdbb9744a63a61d84d901960781300fc5e7fd1030b41a4f49cfe37dc274b0973.png

../_images/5d1092ff4672276f00507aae8dc9a1cf2e9759b97fd56926deeb1bfd45b099ef.png

../_images/49021a4b45cf135529cbc79754d0256b8986d8e65fced8253eb532fc70022a26.png

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Case Study: The CAPM

By Mark Hendricks

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