Quantitative Methods in Finance (Python) 

Summary

Part 1

Chose 3 financial assets, calculated the expected return and systematic risk for assets using the CAPM. Discussed the implication of the alpha and beta of each asset.

Constructed an efficient frontier for the assets using the Modern Portfolio Theory and chose the optimal portfolio and the minimum variance portfolio based on randomly assigned weights.

Used the CAPM model to estimate the expected return and the systematic risk for the optimal portfolio and the minimum variance portfolio above and discussed the implications of the alpha and beta for these portfolios.

Used Value at Risk to measure how risky each asset is and how risky the optimal portfolio and the minimum variance portfolio are.

Part 2

Defined a function in Python that prices a call and put option using the Black-Scholes-Merton formula.