Description
This module aims to provide students with an overview of quantitative techniques that are relevant to asset allocation and portfolio risk management. The module is organised by areas of quantitative techniques, and each session will be accompanied by practical examples, including financial, mathematical, and statistical basics.
Learning Outcomes
- Perform multivariate regression and factor modelling
- Perform principal component analysis
- Apply statistical and mathematical tools, optimisation techniques and estimation of risk in regard to portfolio optimisation
- Use Monte Carlo simulation in asset allocation
- Understand of value at risk and other risk metrics
Reading List:
Market Risk Analysis, Volume I: Quantitative Methods in Finance, Carol Alexander, John Wiley & Sons, 2008.
Chapter I.1 Basic Calculus for Finance
Chapter I.2 Essential Linear Algebra for Finance
Chapter I.3 Probability and Statistics
Module deliveries for 2024/25 academic year
Last updated
This module description was last updated on 19th August 2024.
Ìý