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MATHEMATICAL PORTFOLIO THEORY

Duration: 24:00:00
Lectures: 37
Level: Beginner

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This course will give an introduction to the mathematical approaches used for design and analysis of financial portfolios. It would be useful to participants who want to get a basic insight into mathematical portfolio theory, as well as those who are looking at a career in finance industry, particularly as asset
managers.

1
MATHEMATICAL PORTFOLIO THEORY -INTRO
6:34
2
MATHEMATICAL PORTFOLIO THEORY -Lecture 1: Probability space and their properties, Random variables
44:21
3
MATHEMATICAL PORTFOLIO THEORY -Lecture 2: Mean, variance, covariance and their properties
51:10
4
MATHEMATICAL PORTFOLIO THEORY -Lecture 3:Â Linear regression; Binomial and normal distribution; Central Limit Theorem
46:13
5
MATHEMATICAL PORTFOLIO THEORY -Lecture 4 :Â Financial markets
522:28
6
MATHEMATICAL PORTFOLIO THEORY -Lecture 5 :Â Bonds and stocks
53:07
7
MATHEMATICAL PORTFOLIO THEORY -Lecture 6 : Binomial and geometric Brownian motion (gBm) asset pricing models
1:00:57
8
MATHEMATICAL PORTFOLIO THEORY -Lecture 7 :Â Expected return, risk and covariance of returns
54:01
9
MATHEMATICAL PORTFOLIO THEORY -Lecture 8 : Expected return and risk of a portfolio; Minimum variance portfolio
50:05
10
MATHEMATICAL PORTFOLIO THEORY -Lecture 9 : Multi-asset portfolio and Efficient frontier
51:25
11
MATHEMATICAL PORTFOLIO THEORY -Lecture 10 : Capital Market Line and Derivation of efficient frontier
51:35
12
MATHEMATICAL PORTFOLIO THEORY -Lecture 11 : Capital Asset Pricing Model and Single index model
53:57
13
MATHEMATICAL PORTFOLIO THEORY -Lecture 12 : Portfolio performance analysis
48:55
14
MATHEMATICAL PORTFOLIO THEORY -Lecture 13 : Utility functions and expected utility
44:42
15
MATHEMATICAL PORTFOLIO THEORY -Lecture 14 :Â Risk preferences of investors
52:47
16
MATHEMATICAL PORTFOLIO THEORY -Lecture 15 : Absolute Risk Aversion and Relative Risk Aversion
49:57
17
MATHEMATICAL PORTFOLIO THEORY -Lecture 16 :Â Portfolio theory with utility functions
51:13
18
MATHEMATICAL PORTFOLIO THEORY -Lecture 17 : Geometric Mean Return and Roy’s Safety-First Criterion
50:33
19
MATHEMATICAL PORTFOLIO THEORY -Lecture 18 :Â Kataoka’s Safety-First Criterion and Telser’s Safety-First Criterion
51:47
20
MATHEMATICAL PORTFOLIO THEORY -Lecture 19 : Semi-variance framework
49:08
21
MATHEMATICAL PORTFOLIO THEORY -Lecture 20 : Stochastic dominance; First order stochastic dominance
52:35
22
MATHEMATICAL PORTFOLIO THEORY -Lecture 21 : Second order stochastic dominance and Third order stochastic dominance
42:45
23
MATHEMATICAL PORTFOLIO THEORY -Lecture 22 : Discrete time model and utility function
46:07
24
MATHEMATICAL PORTFOLIO THEORY -Lecture 23 : Optimal portfolio for single-period discrete time model
48:46
25
MATHEMATICAL PORTFOLIO THEORY -Lecture 24 : Optimal portfolio for multi-period discrete time model; Discrete Dynamic Programming
50:04
26
MATHEMATICAL PORTFOLIO THEORY -Lecture 25 : Continuous time model; Hamilton-Jacobi-Bellman PDE
48:01
27
MATHEMATICAL PORTFOLIO THEORY -Lecture 26 : Hamilton-Jacobi-Bellman PDE; Duality/Martingale Approach
45:39
28
MATHEMATICAL PORTFOLIO THEORY -Lecture 27 : Duality/Martingale Approach in Discrete and Continuous Time
40:20
29
MATHEMATICAL PORTFOLIO THEORY -Lecture 28 : Interest rates and bonds; Duration
47:48
30
MATHEMATICAL PORTFOLIO THEORY -Lecture 29 : Duration; Immunization
52:10
31
MATHEMATICAL PORTFOLIO THEORY -Lecture 30 : Convexity; Hedging and Immunization
51:50
32
MATHEMATICAL PORTFOLIO THEORY -Lecture 31: Quantiles and their properties
49:28
33
MATHEMATICAL PORTFOLIO THEORY -Lecture 32:Â Value-at-Risk and its properties
1:01:08
34
MATHEMATICAL PORTFOLIO THEORY -Lecture 33: Average Value-at-Risk and its properties
51:52
35
MATHEMATICAL PORTFOLIO THEORY -Lecture 34: Asset allocation
51:55
36
MATHEMATICAL PORTFOLIO THEORY -Lecture 35: Portfolio optimization
50:11
37
MATHEMATICAL PORTFOLIO THEORY -Lecture 36: Portfolio optimization with constraints, Value-at-Risk: Estimation and backtesting
58:37

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MATHEMATICAL PORTFOLIO THEORY
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