Applications to Mathematics

General Information

Pfaff, B. (2016). Financial Risk Modelling and Portfolio Optimization with R. John Wiley & Sons, Ltd.

Attendance is recorded. Unexcused absence lowers the grade accordingly.
It is the students' responsibility to check Canvas and their Webster email regularly.
For every hour spent in class it is expected of the students to invest 3 hours per week outside of class in homework, reviewing material, assignments, etc.

Students are required to inform themselves of WUV academic policies.

A full list of these policies is available on the WUV website: http://webster.ac.at/academic-policies

Week 5

Financial Market Data

· Stylized Facts of Financial Market Returns

· Implications for Risk Models

· Synopsis of Risk Measures

· Portfolio Risk Concepts

Modern Portfolio Theory

· Introduction

· Markowitz Portfolios

· Empirical Mean-Variance Portfolios

Week 6

Robust Portfolio Optimization

· Robust Statistics

· Robust Optimization

Diversification Reconsidered

· Most-Diversified Portfolio

· Risk Contribution Constrained Portfolios

· Optimal Tail-Dependent Portfolios

Week 7

Risk-Optimal Portfolios

· Mean-VaR Portfolios

· Optimal CVaR Portfolios

· Optimal Draw-Down Portfolios

Tactical Asset Allocation

· Univariate Time Series Models

· Multivariate Time Series Models

· The Black-Litterman Approach

Week 8

Probabilistic Utility

· The Concept of Probabilistic Utility

· Markov Chain Monte Carlo

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