Statistics 19: Fiat Lux Seminar
Statistics and Portfolio Risk Management with Stock Market Applications
First class is on Monday 01 October
Location: MS 5128
Time: 16:00 - 16:50
See you then!
For the course syllabus click
It's online, therefore it exists!
Download R and packages.
3. R commands (text file).
4. Portfolio possibilities curve when risk free asset exist.
5. How to find the point of tangency.
6. Single index model - steps.
7. Single index model - example with short sales allowed.
8. Single index model - example with short sales not allowed.
9. Constant correlation model - steps.
10. Constant correlation model - example with short sales allowed.
11. Constant correlation model - example with short sales not allowed.
12. Options basics.
13. Smiley faces - call option.
14. Smiley faces - put option.
15. Options - some simple examples.
16. Payoff and profit for writer and buyer - call option.
17. Payoff and profit for writer and buyer - put option.
18. Lower and upper bounds for call and put options and put call parity.
19. Trading strategies using
20. Binomial oprion pricing model.
21. Butterfly example using R.
1. Stock tickers.
2. R commands - group 1.
3. R commands - group 2.
4. R commands - portfolio with stocks and risk free asset.
5. R commands - single index model.
6. Excess return to beta ratio - R commands.
7. Excess return to standard deviation ratio - R commands.
8. Adjusting the betas - R commands.
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