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

Announcements

  • 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 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.
  • 2a. Download.
  • 2b. Download.
  • 2c. Download.
  • 2d. Download.
  • 2e. Download.
  • 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.
  • 8. Read 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 options.
  • 26. Binomial oprion pricing model.
  • 27. Butterfly example using R.
  • 28. Trading strategies using options.
  • 29. Butterfly example using R.

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