This course focuses on applications of optimization methods in portfolio construction and risk management. The first module discusses portfolio construction via Mean-Variance Analysis and Capital Asset Pricing Model (CAPM) in an arbitrage-free setting. Next, it demonstrates the application of the security market line and sharpe optimal portfolio in the exercises. The second module involves the difficulties in implementing Mean-Variance techniques in a real-world setting and the potential methods to deal with it. We will introduce Value at Risk (VaR) and Conditional Value at Risk (CVaR) as risk measurements, and Exchange Traded Funds (ETFs), which play an important role in trading and asset management. Typical statistical biases, pitfalls, and their underlying reasons are also discussed, in order to achieve better results when completing real statistical estimation. The final module looks directly at real-world transaction costs modeling. It includes 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 considering transaction costs.
This course is part of the Financial Engineering and Risk Management Specialization
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About this Course
Students should have intermediate to advanced undergraduate courses in: (i) probability and statistics, (ii) linear algebra, and (iii) calculus.
Could your company benefit from training employees on in-demand skills?
Try Coursera for BusinessSkills you will gain
- Capital Asset Pricing Model (CAPM)
- risk measurements
- Value at Risk (VaR)
- Exchange Traded Funds (ETFs)
- transaction costs-modeling
Students should have intermediate to advanced undergraduate courses in: (i) probability and statistics, (ii) linear algebra, and (iii) calculus.
Could your company benefit from training employees on in-demand skills?
Try Coursera for BusinessOffered by
Syllabus - What you will learn from this course
Course Overview
Mean-Variance Analysis and CAPM
Assignment week
Practical Issues in Implementing Mean Variance
Reviews
- 5 stars64.70%
- 4 stars23.52%
- 2 stars5.88%
- 1 star5.88%
TOP REVIEWS FROM OPTIMIZATION METHODS IN ASSET MANAGEMENT
It would be nice if more reading materials or reference can be pointed to, for example, specific chapters of a book or a specific paper, or lecture notes.
The course overall is good. But the structure is kinda messy, and definitions used in assignments are not very clear sometimes.
hi there
As a finance Master graduate and an employee of the banking industry, I learned many new things from this course
Thanks a lot
About the Financial Engineering and Risk Management Specialization

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