When an investor is faced with a portfolio choice problem, the number of possible assets and the various combinations and proportions in which each can be held can seem overwhelming. In this course, you’ll learn the basic principles underlying optimal portfolio construction, diversification, and risk management. You’ll start by acquiring the tools to characterize an investor’s risk and return trade-off. You will next analyze how a portfolio choice problem can be structured and learn how to solve for and implement the optimal portfolio solution. Finally, you will learn about the main pricing models for equilibrium asset prices.
Learners will:
• Develop risk and return measures for portfolio of assets
• Understand the main insights from modern portfolio theory based on diversification
• Describe and identify efficient portfolios that manage risk effectively
• Solve for portfolio with the best risk-return trade-offs
• Understand how risk preference drive optimal asset allocation decisions
• Describe and use equilibrium asset pricing models.
Ce cours fait partie de la Spécialisation Investment and Portfolio Management
Portfolio Selection and Risk Management
proposé par
À propos de ce cours
4.6
241 notes
Compétences que vous acquerrez
Risk ManagementPortfolio ConstructionRisk AnalysisPortfolio Optimization
Programme du cours : ce que vous apprendrez dans ce cours
Semaine
15 heures pour terminer
Module 1- Introduction & Risk and Return
This module introduces the second course in the Investment and Portfolio Management Specialization. In this module, we discuss one of the main principles of investing: the risk-return trade-off, the idea that in competitive security markets, higher expected returns come only at a price – the need to bear greater risk. We develop statistical measures of risk and expected return and review the historical record on risk-return patterns across various asset classes.
10 vidéos (Total 64 min), 11 lectures, 4 quiz
10 vidéos
Overview – No free lunches! Risk and return trade-off4 min
Measuring returns: Geometric average returns6 min
Measuring returns: Arithmetic average returns4 min
Measuring risk: Volatility of returns8 min
Alternative measures of risk7 min
More on measuring risk and risk measures4 min
Measuring risk and return: Illustration with four stocks8 min
Historical record on risk-return patterns8 min
Summary1 min
11 lectures
Grading Policy10 min
How to use discussion forums10 min
Meet & Greet: Get to know your classmates10 min
Pre-Course Survey10 min
Lecture handouts: Risk and return: Measuring returns10 min
Risk and return: Measuring returns Quiz Solutions10 min
Lecture handouts: Risk and return: Measuring risk10 min
Risk & Return: Measuring risk Quiz solutions10 min
Lecture handouts: Risk and return: Historical record10 min
Investing: Stocks for the long run (optional)10 min
Module 1: Risk & Return Solutions10 min
3 exercices pour s'entraîner
Risk and return: Measuring returns10 min
Risk & Return: Measuring risk10 min
Module 1: Risk & Return20 min
Semaine
26 heures pour terminer
Module 2: Portfolio construction and diversification
In this module, we build on the tools from the previous module to develop measure of portfolio risk and return. We define and distinguish between the different sources of risk and discuss the concept of diversification: how and why putting risky assets together in a portfolio eliminates risk that yields a portfolio with less risk than its components. Finally, we review the quantitative tools that help us identify the ‘best’ portfolios with the least risk for a given level of expected return by considering a numerical example using international equity data.
16 vidéos (Total 83 min), 12 lectures, 6 quiz
16 vidéos
Measuring the expected return of a portfolio8 min
Let’s review how we measure risk for a single asset4 min
Finding the volatility of a portfolio return3 min
Portfolio volatility: Another example2 min
Measuring the co-movement between securities9 min
Putting it all together… portfolio risk and diversification7 min
Diversification and portfolio risk3 min
Diversification: A graphical illustration with two assets4 min
Diversification: A graphical illustration with three assets3 min
Diversification: Systematic risk and idiosyncratic risk7 min
Diversification: An illustration from international equity markets (US and Japan only)11 min
Mean-variance frontier and efficient portfolios: International equity investment example (G5 countries)5 min
Are you diversified adequately?4 min
Mean-variance portfolio analysis5 min
Summary1 min
12 lectures
Lecture handouts: Measuring portfolio expected return
Measuring expected portfolio return Quiz solutions10 min
Lecture handouts: Measuring portfolio volatility
Measuring portfolio volatility Quiz solutions10 min
Accompanying spreadsheets for "Diversification: An illustration from international equity markets (US and Japan only)"10 min
A Note on using EXCEL Solver10 min
Lecture handouts: Diversification and portfolio risk
Lecture handouts: Mean-variance frontier and efficient portfolios: International equity investment example
Diversification and portfolio risk Quiz solutions10 min
Equity investing: Globalization and diversification (optional)10 min
Lecture handouts: Are you adequately diversified?
Module 2: Portfolio construction and diversification- Solutions10 min
4 exercices pour s'entraîner
Measuring expected portfolio return16 min
Measuring portfolio volatility20 min
Diversification and portfolio risk30 min
Module 2: Portfolio construction and diversification20 min
Semaine
32 heures pour terminer
Module 3: Mean-variance preferences
In this module, we describe how investors make choices. Specifically, we look at how utility functions are used to express preferences. We review measures to describe investors’ attitude towards risk. Finally, we discuss how we can summarize investors’ preferences using a specific utility function: mean-variance preferences.
7 vidéos (Total 47 min), 7 lectures, 3 quiz
7 vidéos
Introduction2 min
Preferences: Utility functions8 min
Risk aversion9 min
Expected utility6 min
Mean-variance preferences8 min
Portfolio choice problem with mean-variance preferences: A graphical illustration with equity and bond data10 min
Summary1 min
7 lectures
Lecture handouts: Utility and risk aversion
A note on measuring risk aversion and certainty equivalent10 min
Utility and Risk aversion Quiz solutions10 min
Lecture handouts: Mean-variance preferences
Portfolio choice with mean-variance preferences quiz solutions10 min
Measure your own risk tolerance10 min
Module 3: Mean-variance preferences- Solutions10 min
3 exercices pour s'entraîner
Utility and risk aversion10 min
Portfolio choice with mean-variance preferences16 min
Module 3: Mean-variance preferences12 min
Semaine
45 heures pour terminer
Module 4: Optimal capital allocation and portfolio choice
In this module, you will learn about mean-variance optimization: how to make optimal capital allocation and portfolio choice decisions when investors have mean-variance preferences. This was one of the ground-breaking ideas in finance. We will formally set up the investor’s portfolio choice problem and learn step-by-step how to solve for the optimal allocation and risky portfolio choice given a set of risky securities. You will also have an opportunity to apply these techniques to a numerical example. This module is slightly more technical than the others. Stick with it… you will not regret it!
10 vidéos (Total 63 min), 12 lectures, 3 quiz
10 vidéos
Introduction2 min
Capital allocation line11 min
Solving for the optimal capital allocation7 min
Optimal capital allocation example: U.S. equities and Treasuries10 min
Finding the optimal risky portfolio: Maximizing the Sharpe ratio6 min
Main insight: The optimal risky portfolio is independent of preferences2 min
Finding the optimal risk portfolio when you have multiple risky securities10 min
Investment decision process5 min
What’s wrong with mean-variance portfolio analysis?4 min
Summary2 min
12 lectures
A note on optimal capital allocation10 min
Accompanying spreadsheets for "Optimal Capital Allocation Example: US Equities and Treasuries"10 min
Lecture handouts: Mean-variance optimization
Mean-variance optimization Quiz solutions10 min
Analytical solution to MVE portfolio (two risky assets)10 min
A note on finding the mean variance efficient portfolio (Two risky assets)10 min
Accompanying spreadsheets for "Finding the optimal risky portfolio: Maximizing the Sharpe ratio"10 min
A note on finding the minimum variance frontier with multiple risky assets10 min
Accompanying spreadsheet for finding minimum variance frontier with multiple risky assets10 min
Lecture handouts: Optimal risky portfolio choice
Lecture handouts
Optimal capital allocation and portfolio choice- Solutions10 min
2 exercices pour s'entraîner
Mean-variance optimization10 min
Optimal capital allocation and portfolio choice18 min
4.6
36 avis50%
a commencé une nouvelle carrière après avoir terminé ces cours
50%
a bénéficié d'un avantage concret dans sa carrière grâce à ce cours
Meilleurs avis
I really enjoyed this course. Sometimes it required a lot of discipline to analyse investigate, but at the end I've learn a lot.
This is the most informative in depth short course i ever across. Learned a lot!
Enseignant
Arzu Ozoguz
Finance FacultyJones Graduate School of Business
À propos de Université de Rice
Rice University is consistently ranked among the top 20 universities in the U.S. and the top 100 in the world. Rice has highly respected schools of Architecture, Business, Continuing Studies, Engineering, Humanities, Music, Natural Sciences and Social Sciences and is home to the Baker Institute for Public Policy.
À propos de la Spécialisation Investment and Portfolio Management
In this four-course Specialization, you’ll learn the essential skills of portfolio management and personal investing.
All investors – from the largest wealth funds to the smallest individual investors – share common issues in investing: how to meet their liabilities, how to decide where to invest, and how much risk to take on. In this Specialization, you will learn how to think about, discuss, and formulate solutions to these investment questions. You will learn the theory and the real-world skills necessary to design, execute, and evaluate investment proposals that meet financial objectives. You will begin with an overview of global financial markets and instruments that characterize the investment opportunities available to today’s investor. You will then learn how to construct optimal portfolios that manage risk effectively, and how to capitalize on understanding behavioral biases and irrational behavior in financial markets. You will learn the best practices in portfolio management and performance evaluation as well as current investment strategies. By the end of your Capstone Project, you will have mastered the analytical tools, quantitative skills, and practical knowledge necessary for long-term investment management success.
To see an overview video for this Specialization, click here!
Foire Aux Questions
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Lorsque vous vous inscrivez au cours, vous bénéficiez d'un accès à tous les cours de la Spécialisation, et vous obtenez un Certificat lorsque vous avez réussi. Votre Certificat électronique est alors ajouté à votre page Accomplissements. À partir de cette page, vous pouvez imprimer votre Certificat ou l'ajouter à votre profil LinkedIn. Si vous souhaitez seulement lire et visualiser le contenu du cours, vous pouvez accéder gratuitement au cours en tant qu'auditeur libre.
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