We announce a one-week intensive course, March 13-17 that covers
quantitative portfolio- and risk- management from the foundations to the
most advanced developments. The theory is supported by practical
examples that are implemented in MATLAB.
Multivariate statistics is thoroughly reviewed. Multivariate estimation
methods are analyzed, including non-parametric, maximum likelihood under
non-normal hypotheses, shrinkage, robust, and general Bayesian
techniques. Portfolio evaluation methods such as stochastic dominance,
expected utility, value at risk and coherent measures are discussed in a
unified setting and applied in a variety of contexts, including prospect
theory, total return and benchmark allocation.
Classical portfolio optimization is discussed in a general setting and
feasible approaches such as mean-variance and mean-CVaR are analyzed.
Optimization under estimation risk is then thoroughly discussed: the
Black-Litterman approach, more general Bayesian approaches, the
resampling procedure and robust optimization techniques, which can be
solved by means of cone-programming.
Prerequisites: probability, multivariate calculus and linear algebra.
A detailed syllabus, the schedule and more information can be found at
http://www.symmys.com/AttilioMeucci/Teaching/Teaching.html#BocconiSpring
06
Please confirm your participation with Angela Baldassare
([log in to unmask])
IMPORTANT:
The course will follow closely the book www.symmys.com, which can be
purchased at the special price of 60 Euro from the Egea bookstore
(contact Gianna Guidoni 02-58362168 as soon as possible to reserve your
copy).
Given the high pace of the course, knowledge of Appendix A and Appendix
B in the textbook is an indispensable prerequisite before instruction
begins.
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