Columbia University
Optimization Methods in Asset Management
Columbia University

Optimization Methods in Asset Management

This course is part of Financial Engineering and Risk Management Specialization

Taught in English

Some content may not be translated

Garud Iyengar
Ali Hirsa
Martin Haugh

Instructors: Garud Iyengar

7,451 already enrolled

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Course

Gain insight into a topic and learn the fundamentals

4.7

(36 reviews)

Intermediate level

Recommended experience

14 hours (approximately)
Flexible schedule
Learn at your own pace

Details to know

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Assessments

18 quizzes

Course

Gain insight into a topic and learn the fundamentals

4.7

(36 reviews)

Intermediate level

Recommended experience

14 hours (approximately)
Flexible schedule
Learn at your own pace

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This course is part of the Financial Engineering and Risk Management Specialization
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There are 6 modules in this course

What's included

1 video3 readings1 discussion prompt

In this module, we will cover topics related to Mean-Variance Analysis and Capital Asset Pricing Model (CAPM), which is a fundamental theory in portfolio selection. CAPM can be used to price risky assets in the market. We will start by utilizing Mean-Variance Analysis to construct an optimal portfolio in an arbitrage-free market. Then we will introduce the efficient frontier and capital market line. Finally, we use excel to implement Mean-Variance optimization and construct a portfolio with the highest Sharpe ratio. In practice, Mean-Variance Analysis and CAPM can also be extended in other pricing techniques such as factor model. In the assignment, you will be required to apply Mean-Variance Analysis to do portfolio selection, Sharpe ratio computation, and risky asset pricing, etc.

What's included

11 videos1 reading4 quizzes

What's included

3 readings2 quizzes1 discussion prompt

In this module, we show the difficulties in implementing Mean-Variance and provide possible methods to improve the estimated frontier by revising constraints and amending parameter estimation. VaR and CVaR are introduced as different measurements about risk beyond variance. In the second lesson, we will also learn common ETFs and their returns and volatility. ETFs play an important role in trading and asset management because of their features at low costs, tax efficiency, and stock-like behaviors. In the last lesson, we will introduce some facts about typical statistical biases and pitfalls, as well as underlying reasons. This can remind us to be more careful when doing the statistical estimation. If you have any questions, you should reach out to us on the discussion forum.

What's included

12 videos1 reading5 quizzes

What's included

3 readings4 quizzes

In the real world, transaction costs are charged when we buy or sell assets in the market. How to model transaction cost is a key question in portfolio execution. In this module, we learn about the basic market micro-structures, including order book, bid-ask spread, measurement of liquidity and their effects on transaction costs. Then we enrich Mean-Variance portfolio strategies by taking transaction costs into consideration. By learning this module, you will be better prepared to deal with real-world investment problems.

What's included

7 videos1 reading3 quizzes

Instructors

Instructor ratings
4.5 (11 ratings)
Garud Iyengar
Columbia University
7 Courses434,094 learners
Ali Hirsa
Columbia University
5 Courses43,810 learners
Martin Haugh
Columbia University
7 Courses434,094 learners

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4.7

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