Columbia University
Optimization Methods in Asset Management
Columbia University

Optimization Methods in Asset Management

This course is part of Financial Engineering and Risk Management Specialization

Taught in English

Some content may not be translated

Garud Iyengar
Ali Hirsa
Martin Haugh

Instructors: Garud Iyengar

6,820 already enrolled

Included with Coursera Plus

Course

Gain insight into a topic and learn the fundamentals

4.6

(33 reviews)

Intermediate level

Recommended experience

14 hours (approximately)
Flexible schedule
Learn at your own pace

Details to know

Shareable certificate

Add to your LinkedIn profile

Assessments

18 quizzes

Course

Gain insight into a topic and learn the fundamentals

4.6

(33 reviews)

Intermediate level

Recommended experience

14 hours (approximately)
Flexible schedule
Learn at your own pace

See how employees at top companies are mastering in-demand skills

Placeholder

Build your subject-matter expertise

This course is part of the Financial Engineering and Risk Management Specialization
When you enroll in this course, you'll also be enrolled in this Specialization.
  • Learn new concepts from industry experts
  • Gain a foundational understanding of a subject or tool
  • Develop job-relevant skills with hands-on projects
  • Earn a shareable career certificate
Placeholder
Placeholder

Earn a career certificate

Add this credential to your LinkedIn profile, resume, or CV

Share it on social media and in your performance review

Placeholder

There are 6 modules in this course

What's included

1 video3 readings1 discussion prompt

In this module, we will cover topics related to Mean-Variance Analysis and Capital Asset Pricing Model (CAPM), which is a fundamental theory in portfolio selection. CAPM can be used to price risky assets in the market. We will start by utilizing Mean-Variance Analysis to construct an optimal portfolio in an arbitrage-free market. Then we will introduce the efficient frontier and capital market line. Finally, we use excel to implement Mean-Variance optimization and construct a portfolio with the highest Sharpe ratio. In practice, Mean-Variance Analysis and CAPM can also be extended in other pricing techniques such as factor model. In the assignment, you will be required to apply Mean-Variance Analysis to do portfolio selection, Sharpe ratio computation, and risky asset pricing, etc.

What's included

11 videos1 reading4 quizzes

What's included

3 readings2 quizzes1 discussion prompt

In this module, we show the difficulties in implementing Mean-Variance and provide possible methods to improve the estimated frontier by revising constraints and amending parameter estimation. VaR and CVaR are introduced as different measurements about risk beyond variance. In the second lesson, we will also learn common ETFs and their returns and volatility. ETFs play an important role in trading and asset management because of their features at low costs, tax efficiency, and stock-like behaviors. In the last lesson, we will introduce some facts about typical statistical biases and pitfalls, as well as underlying reasons. This can remind us to be more careful when doing the statistical estimation. If you have any questions, you should reach out to us on the discussion forum.

What's included

12 videos1 reading5 quizzes

What's included

3 readings4 quizzes

In the real world, transaction costs are charged when we buy or sell assets in the market. How to model transaction cost is a key question in portfolio execution. In this module, we learn about the basic market micro-structures, including order book, bid-ask spread, measurement of liquidity and their effects on transaction costs. Then we enrich Mean-Variance portfolio strategies by taking transaction costs into consideration. By learning this module, you will be better prepared to deal with real-world investment problems.

What's included

7 videos1 reading3 quizzes

Instructors

Instructor ratings
4.5 (11 ratings)
Garud Iyengar
Columbia University
7 Courses429,980 learners
Ali Hirsa
Columbia University
5 Courses39,410 learners
Martin Haugh
Columbia University
7 Courses429,980 learners

Offered by

Recommended if you're interested in Finance

Why people choose Coursera for their career

Felipe M.
Learner since 2018
"To be able to take courses at my own pace and rhythm has been an amazing experience. I can learn whenever it fits my schedule and mood."
Jennifer J.
Learner since 2020
"I directly applied the concepts and skills I learned from my courses to an exciting new project at work."
Larry W.
Learner since 2021
"When I need courses on topics that my university doesn't offer, Coursera is one of the best places to go."
Chaitanya A.
"Learning isn't just about being better at your job: it's so much more than that. Coursera allows me to learn without limits."

Learner reviews

Showing 3 of 33

4.6

33 reviews

  • 5 stars

    78.78%

  • 4 stars

    15.15%

  • 3 stars

    0%

  • 2 stars

    3.03%

  • 1 star

    3.03%

HE
5

Reviewed on Feb 6, 2023

QW
4

Reviewed on Jun 17, 2023

QL
4

Reviewed on Jan 20, 2022

New to Finance? Start here.

Placeholder

Open new doors with Coursera Plus

Unlimited access to 7,000+ world-class courses, hands-on projects, and job-ready certificate programs - all included in your subscription

Advance your career with an online degree

Earn a degree from world-class universities - 100% online

Join over 3,400 global companies that choose Coursera for Business

Upskill your employees to excel in the digital economy

Frequently asked questions