Sungkyunkwan University
The Fundamental of Data-Driven Investment
Sungkyunkwan University

The Fundamental of Data-Driven Investment

Taught in English

Some content may not be translated

1,884 already enrolled

Course

Gain insight into a topic and learn the fundamentals

Youngju Nielsen

Instructor: Youngju Nielsen

Beginner level

Recommended experience

18 hours to complete
3 weeks at 6 hours a week
Flexible schedule
Learn at your own pace

What you'll learn

  • Build an investment factor model using regression methodology

  • Employ optimization algorithm using R standard library

  • Explain the portfolio performance

Details to know

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Assessments

5 quizzes

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There are 4 modules in this course

You will learn how to read stock price time-series data from CSV file and analyze the past return data. After you understand the past return data, you will determine what impacts stocks' return and make a future return forecasting model using regression.

What's included

6 videos10 readings2 quizzes

First of all, you will learn how you can gauge investment strategy using backtesting. You learned the first component of investment strategy, returns, in the first week. You will expand your study to assessing investment risks. To understand stocks' risks, you will calculate covariance and correlation matrix using historical time-series stock return data. You will extend this to market factor and three-factor models to understand the risk you are facing with your investment. Finally, you will calculate factor exposure using a 3-factor model from week 2 and separate common factor risk and idiosyncratic risk of the stock.

What's included

5 videos9 readings1 quiz

In this week, This week, you will download various global ETFs and make global asset allocation portfolio using mean-variance optimization.

What's included

3 videos6 readings1 quiz

You will learn about various portfolios other than a mean-variance optimized portfolio. Additionally, you will add a constraint to your portfolio optimization. In reality, you might need to consider more than volatility measured by return standard deviation. You will grasp the concepts of VaR, maximum drawdowns and CvaR, etc.

What's included

5 videos10 readings1 quiz

Instructor

Youngju Nielsen
Sungkyunkwan University
3 Courses2,667 learners

Offered by

Recommended if you're interested in Data Analysis

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