Mathematical Portfolio Theory GYFEXAM96J
| URI | m2://res/GYFEXAM96J |
|---|---|
| Kind | course |
| Creators | Siddhartha Pratim Chakrabarty (instructor) |
| Date | 2020-05-21 |
| Scope | in |
| Ids | course 0022nd079:111103137 |
Expressions
e1: edition
| Language | en |
|---|---|
| Date | 2020-05-21 |
- m1: page, IIT Guwahati (record). nptel 111103137
- m2: page, 2020-05-21 (record). nptel 111103137
Contents
- part 1: Week 1: Basics of Probability Theory
- session 1: Lecture 1: Probability space and their properties, Random variables
- session 2: Lecture 2: Mean, variance, covariance and their properties
- session 3: Lecture 3:Â Linear regression; Binomial and normal distribution; Central Limit Theorem
- part 2: Module 2: Basics of Financial Markets
- session 4: Lecture 4 :Â Financial markets
- session 5: Lecture 5 :Â Bonds and stocks
- session 6: Lecture 6 : Binomial and geometric Brownian motion (gBm) asset pricing models
- part 3: Module 3: Mean-Variance Portfolio Theory-I
- session 7: Lecture 7 :Â Expected return, risk and covariance of returns
- session 8: Lecture 8 : Expected return and risk of a portfolio; Minimum variance portfolio
- session 9: Lecture 9 : Multi-asset portfolio and Efficient frontier
- part 4: Module 4: Mean-Variance Portfolio Theory-II
- session 10: Lecture 10 : Capital Market Line and Derivation of efficient frontier
- session 11: Lecture 11 : Capital Asset Pricing Model and Single index model
- session 12: Lecture 12 : Portfolio performance analysis
- part 5: Module 5: Non-Mean-Variance Portfolio Theory-I
- session 13: Lecture 13 : Utility functions and expected utility
- session 14: Lecture 14 :Â Risk preferences of investors
- session 15: Lecture 15 : Absolute Risk Aversion and Relative Risk Aversion
- part 6: Module 6: Non-Mean-Variance Portfolio Theory-II
- session 16: Lecture 16 :Â Portfolio theory with utility functions
- session 17: Lecture 17 : Geometric Mean Return and Roy's Safety-First Criterion
- session 18: Lecture 18 :Â Kataoka's Safety-First Criterion and Telser's Safety-First Criterion
- part 7: Module 7: Non-Mean-Variance Portfolio Theory-III
- session 19: Lecture 19 : Semi-variance framework
- session 20: Lecture 20 : Stochastic dominance; First order stochastic dominance
- session 21: Lecture 21 : Second order stochastic dominance and Third order stochastic dominance
- part 8: Module 8: Optimal Portfolio and Consumption-I
- session 22: Lecture 22 : Discrete time model and utility function
- session 23: Lecture 23 : Optimal portfolio for single-period discrete time model
- session 24: Lecture 24 : Optimal portfolio for multi-period discrete time model; Discrete Dynamic Programming
- part 9: Module 9: Optimal Portfolio and Consumption-II
- session 25: Lecture 25 : Continuous time model; Hamilton-Jacobi-Bellman PDE
- session 26: Lecture 26 : Hamilton-Jacobi-Bellman PDE; Duality/Martingale Approach
- session 27: Lecture 27 : Duality/Martingale Approach in Discrete and Continuous Time
- part 10: Module 10: Bond Portfolio Management
- session 28: Lecture 28 : Interest rates and bonds; Duration
- session 29: Lecture 29 : Duration; Immunization
- session 30: Lecture 30 : Convexity; Hedging and Immunization
- part 11: Module 11: Risk Management
- session 31: Lecture 31: Quantiles and their properties
- session 32: Lecture 32:Â Value-at-Risk and its properties
- session 33: Lecture 33: Average Value-at-Risk and its properties
- part 12: Module 12: Applications with market data
- session 34: Lecture 34: Asset allocation
- session 35: Lecture 35: Portfolio optimization
- session 36: Lecture 36: Portfolio optimization with constraints, Value-at-Risk: Estimation and backtesting
- part 13: Live Session
- session 37: Live Session 07-10-2020
- session 38: Live Session 10-11-2020
- session 39: Live Session 01-12-2020
Catalogue records
- nptel: 111103137 (manifestation)
- nptel_video: 111103137 (manifestation)