Statistics 19: Fiat Lux Seminar
Statistics and Portfolio Risk Management with Stock Market Applications

Announcements

First class is on Monday 01 October
Location: MS 5128
Time: 16:00 - 16:50
See you then!

  • For the course syllabus click here.

    Useful links:

  • http://www.socr.ucla.edu

    It's online, therefore it exists!


  • http://wiki.stat.ucla.edu/socr/index.php/SOCR_EduMaterials
  • Download R and packages.
  • Download RStudio.

    Handouts

  • 1. Introduction.
  • 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 options.
  • 20. Binomial oprion pricing model.
  • 21. Butterfly example using R.

    Labs

  • 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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