Statistics 19: Fiat Lux Seminar
Statistics and Portfolio Risk Management with Stock Market Applications
Date posted 25 September 2017:
First class is on Monday 02 October.
Location: MS 5203
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. Three columns a, b, c with each row a+b+c=1.
5. Portfolio possibilities curve when risk free asset exist.
6. How to find the point of tangency.
7. Ten stocks plus the s&p500.
the data from the ten stocks plus the s&p500 (see #7).
9. How to find the point of tangency - example.
10. Single index model - steps.
11. Single index model - example with short sales allowed.
12. Single index model - example with short sales not allowed.
13. Example in R for the single index model.
14. Constant correlation model - steps.
15. Constant correlation model - example with short sales allowed.
16. Constant correlation model - example with short sales not allowed.
17. Thirty stocks plus the s&p500.
18. Options basics.
19. Smiley faces - call option.
20. Smiley faces - put option.
21. Options - some simple examples.
22. Payoff and profit for writer and buyer - call option.
23. Payoff and profit for writer and buyer - put option.
24. Lower and upper bounds for call and put options and put call parity.
25. Trading strategies using
26. Binomial oprion pricing model.
27. Butterfly example using R.
28. Trading strategies using
29. Butterfly example using R.
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