1. Ordinary Least Squares

2. Statistical Inference

3. Generalized Regression Model

• Matlab Codes: Download my GRM package

• White Test

• GLS Estimator

• Iterated GLS Estimator (also with Robust SE)

• Generalized IV Estimator

4. Reduced-Form Estimation

5. Introduction to Structural Estimation

6. Maximum Likelihood Estimation

7. Generalized Method of Moments

• Matlab Code (Iterated GMM Estimation)

8. CAPM Estimation

• Matlab Codes (Estimating CAPM with OLS, GLS, MLE, MM)

9. Factor Model Estimation

10. GMM Estimation, CAPM & Asset Allocation. NEW  

11. MATLAB APPLICATIONS (Programming OLS, GLS, Statistical Inference, IV, MLE, GMM)

Slides:

• Asset Allocation & Market Models

Matlab Codes:

• Optimal Portfolio (Basic)

• Optimal Portfolios (Target Returns)

• Optimal Portfolios (Risky Frontier)

• Optimal Portfolios (Asset Bounds)

• Optimal Portfolios (Group Bounds)

• Optimal Portfolios (Risk Aversion)

• Optimal Portfolios (Real Data) 

Data:

• Stocks and Stock Markets (Excel, Matlab)

• 100 Italian Stocks (Excel, Matlab)

Slides:

• Lecture Slides

• Portfolio Bounds

• Risk Measures

• Exercises

Excel:

• Optimal Portfolios: Empty & Completed files

• Individual Stocks: Empty & Completed files

Slides:

• Lecture Slides

Phyton:

• Data & Codes