Portfolio allocation is a continuous challenge: Investors must find the right balance between seeking higher returns and managing increased risk. How can you use quantitative modeling to help optimize your portfolio?
In this course, you will delve into data-driven and model-based approaches to portfolio allocation using the Julia programming language. You will discover various methods to estimate the required components of the allocation problem from data or by using simple models. You will then determine how to evaluate portfolio performance and examine the role of diversification in portfolio performance. Finally, you will explore utility maximization, risk aversion, and behavioral finance to help you better understand portfolio allocation choices. By the end of the course, you will be able to develop optimized portfolios that consist of combinations of both more risky assets and risk-free ones to balance risk and reward.
You are required to have completed the following courses or have equivalent experience before taking this course:- Quantitative Modeling of Fixed Income Debt Securities
- Equity Asset Pricing Using Stochastic Models
- Analysis of Equity Derivatives at Expiration
- Analysis of Equity Derivatives Before Expiration
