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英語

字幕:英語

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Risk ManagementPortfolio ConstructionRisk AnalysisPortfolio Optimization

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英語

字幕:英語

シラバス - 本コースの学習内容

1
5時間で修了

Module 1- Introduction & Risk and Return

This module introduces the second course in the Investment and Portfolio Management Specialization. In this module, we discuss one of the main principles of investing: the risk-return trade-off, the idea that in competitive security markets, higher expected returns come only at a price – the need to bear greater risk. We develop statistical measures of risk and expected return and review the historical record on risk-return patterns across various asset classes. ...
10件のビデオ (合計64分), 11 readings, 4 quizzes
10件のビデオ
Overview – No free lunches! Risk and return trade-off4 分
Measuring returns: Geometric average returns6 分
Measuring returns: Arithmetic average returns4 分
Measuring risk: Volatility of returns8 分
Alternative measures of risk7 分
More on measuring risk and risk measures4 分
Measuring risk and return: Illustration with four stocks8 分
Historical record on risk-return patterns8 分
Summary1 分
11件の学習用教材
Grading Policy10 分
How to use discussion forums10 分
Meet & Greet: Get to know your classmates10 分
Pre-Course Survey10 分
Lecture handouts: Risk and return: Measuring returns10 分
Risk and return: Measuring returns Quiz Solutions10 分
Lecture handouts: Risk and return: Measuring risk10 分
Risk & Return: Measuring risk Quiz solutions10 分
Lecture handouts: Risk and return: Historical record10 分
Investing: Stocks for the long run (optional)10 分
Module 1: Risk & Return Solutions10 分
3の練習問題
Risk and return: Measuring returns10 分
Risk & Return: Measuring risk10 分
Module 1: Risk & Return20 分
2
6時間で修了

Module 2: Portfolio construction and diversification

In this module, we build on the tools from the previous module to develop measure of portfolio risk and return. We define and distinguish between the different sources of risk and discuss the concept of diversification: how and why putting risky assets together in a portfolio eliminates risk that yields a portfolio with less risk than its components. Finally, we review the quantitative tools that help us identify the ‘best’ portfolios with the least risk for a given level of expected return by considering a numerical example using international equity data....
16件のビデオ (合計83分), 12 readings, 6 quizzes
16件のビデオ
Measuring the expected return of a portfolio8 分
Let’s review how we measure risk for a single asset4 分
Finding the volatility of a portfolio return3 分
Portfolio volatility: Another example2 分
Measuring the co-movement between securities9 分
Putting it all together… portfolio risk and diversification7 分
Diversification and portfolio risk3 分
Diversification: A graphical illustration with two assets4 分
Diversification: A graphical illustration with three assets3 分
Diversification: Systematic risk and idiosyncratic risk7 分
Diversification: An illustration from international equity markets (US and Japan only)11 分
Mean-variance frontier and efficient portfolios: International equity investment example (G5 countries)5 分
Are you diversified adequately?4 分
Mean-variance portfolio analysis5 分
Summary1 分
12件の学習用教材
Lecture handouts: Measuring portfolio expected return
Measuring expected portfolio return Quiz solutions10 分
Lecture handouts: Measuring portfolio volatility
Measuring portfolio volatility Quiz solutions10 分
Accompanying spreadsheets for "Diversification: An illustration from international equity markets (US and Japan only)"10 分
A Note on using EXCEL Solver10 分
Lecture handouts: Diversification and portfolio risk
Lecture handouts: Mean-variance frontier and efficient portfolios: International equity investment example
Diversification and portfolio risk Quiz solutions10 分
Equity investing: Globalization and diversification (optional)10 分
Lecture handouts: Are you adequately diversified?
Module 2: Portfolio construction and diversification- Solutions10 分
4の練習問題
Measuring expected portfolio return16 分
Measuring portfolio volatility20 分
Diversification and portfolio risk30 分
Module 2: Portfolio construction and diversification20 分
3
2時間で修了

Module 3: Mean-variance preferences

In this module, we describe how investors make choices. Specifically, we look at how utility functions are used to express preferences. We review measures to describe investors’ attitude towards risk. Finally, we discuss how we can summarize investors’ preferences using a specific utility function: mean-variance preferences. ...
7件のビデオ (合計47分), 7 readings, 3 quizzes
7件のビデオ
Preferences: Utility functions8 分
Risk aversion9 分
Expected utility6 分
Mean-variance preferences8 分
Portfolio choice problem with mean-variance preferences: A graphical illustration with equity and bond data10 分
Summary1 分
7件の学習用教材
Lecture handouts: Utility and risk aversion
A note on measuring risk aversion and certainty equivalent10 分
Utility and Risk aversion Quiz solutions10 分
Lecture handouts: Mean-variance preferences
Portfolio choice with mean-variance preferences quiz solutions10 分
Measure your own risk tolerance10 分
Module 3: Mean-variance preferences- Solutions10 分
3の練習問題
Utility and risk aversion10 分
Portfolio choice with mean-variance preferences16 分
Module 3: Mean-variance preferences12 分
4
5時間で修了

Module 4: Optimal capital allocation and portfolio choice

In this module, you will learn about mean-variance optimization: how to make optimal capital allocation and portfolio choice decisions when investors have mean-variance preferences. This was one of the ground-breaking ideas in finance. We will formally set up the investor’s portfolio choice problem and learn step-by-step how to solve for the optimal allocation and risky portfolio choice given a set of risky securities. You will also have an opportunity to apply these techniques to a numerical example. This module is slightly more technical than the others. Stick with it… you will not regret it!...
10件のビデオ (合計63分), 12 readings, 3 quizzes
10件のビデオ
Capital allocation line11 分
Solving for the optimal capital allocation7 分
Optimal capital allocation example: U.S. equities and Treasuries10 分
Finding the optimal risky portfolio: Maximizing the Sharpe ratio6 分
Main insight: The optimal risky portfolio is independent of preferences2 分
Finding the optimal risk portfolio when you have multiple risky securities10 分
Investment decision process5 分
What’s wrong with mean-variance portfolio analysis?4 分
Summary2 分
12件の学習用教材
A note on optimal capital allocation10 分
Accompanying spreadsheets for "Optimal Capital Allocation Example: US Equities and Treasuries"10 分
Lecture handouts: Mean-variance optimization
Mean-variance optimization Quiz solutions10 分
Analytical solution to MVE portfolio (two risky assets)10 分
A note on finding the mean variance efficient portfolio (Two risky assets)10 分
Accompanying spreadsheets for "Finding the optimal risky portfolio: Maximizing the Sharpe ratio"10 分
A note on finding the minimum variance frontier with multiple risky assets10 分
Accompanying spreadsheet for finding minimum variance frontier with multiple risky assets10 分
Lecture handouts: Optimal risky portfolio choice
Lecture handouts
Optimal capital allocation and portfolio choice- Solutions10 分
2の練習問題
Mean-variance optimization10 分
Optimal capital allocation and portfolio choice18 分
5
3時間で修了

Module 5: Equilibrium asset pricing models

In this module, we build on the insights obtained from modern portfolio theory to understand how risk and return are related in equilibrium. We first look at the main workhorse model in finance, the Capital Asset Pricing Model and discuss the expected return-beta relationship. We then turn our attention to multi-factor models, such as the Fama-French three-factor model. ...
9件のビデオ (合計56分), 7 readings, 2 quizzes
9件のビデオ
From optimal portfolio choice to asset pricing models6 分
Insight #1 from Capital Asset Pricing Model: Passive investing is efficient8 分
Insight #2 from Capital Asset Pricing Model: What determines the market risk premium?5 分
Beta and systematic risk7 分
Capital Asset Pricing Model: Expected return-beta relationship7 分
Multi-factor models7 分
Fama-French three-factor model7 分
Summary2 分
7件の学習用教材
Lecture handouts: Equilibrium asset pricing models: Capital Asset Pricing Model
"The parable of money managers" (optional)10 分
"The dying business of stock picking" WSJ (optional)10 分
Equilibrium asset pricing models: Capital Asset Pricing Model Quiz solutions10 分
Lecture handouts: Equilibrium asset pricing models: Multi-factor models
Module 5 Quiz: Equilibrium asset pricing models- Solutions10 分
End-of-Course Survey10 分
2の練習問題
Equilibrium asset pricing models: Capital Asset Pricing Model24 分
Module 5 Quiz: Equilibrium asset pricing models30 分
4.6
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人気のレビュー

by AHDec 17th 2016

I really enjoyed this course. Sometimes it required a lot of discipline to analyse investigate, but at the end I've learn a lot.

by AANov 11th 2018

This is the most informative in depth short course i ever across. Learned a lot!

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Arzu Ozoguz

Finance Faculty
Jones Graduate School of Business

ライス大学(Rice University)について

Rice University is consistently ranked among the top 20 universities in the U.S. and the top 100 in the world. Rice has highly respected schools of Architecture, Business, Continuing Studies, Engineering, Humanities, Music, Natural Sciences and Social Sciences and is home to the Baker Institute for Public Policy....

Investment and Portfolio Managementの専門講座について

In this four-course Specialization, you’ll learn the essential skills of portfolio management and personal investing. All investors – from the largest wealth funds to the smallest individual investors – share common issues in investing: how to meet their liabilities, how to decide where to invest, and how much risk to take on. In this Specialization, you will learn how to think about, discuss, and formulate solutions to these investment questions. You will learn the theory and the real-world skills necessary to design, execute, and evaluate investment proposals that meet financial objectives. You will begin with an overview of global financial markets and instruments that characterize the investment opportunities available to today’s investor. You will then learn how to construct optimal portfolios that manage risk effectively, and how to capitalize on understanding behavioral biases and irrational behavior in financial markets. You will learn the best practices in portfolio management and performance evaluation as well as current investment strategies. By the end of your Capstone Project, you will have mastered the analytical tools, quantitative skills, and practical knowledge necessary for long-term investment management success. To see an overview video for this Specialization, click here!...
Investment and Portfolio Management

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