#
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
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.

###

Back to the Statistics Department
Home page.