INSY%20434-001%20LAB%204%20Portfolio%20Investment%20Risk%20Management%20WINTER%202010

INSY%20434-001%20LAB%204%20Portfolio%20Investment%20Risk%20Management%20WINTER%202010

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INSY 434-001 Management  Lab instructor: Yong Lee Lab 4
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OBJECTIVE Preparing for final project Being familiar with advanced computation tool
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WHAT TO LEARN Application of MATLAB to Financial optimization Basic tools to play with vector or matrix of which elements are stock variables, e.g., price, std.dev, mean, var, correlation Basic computation of the above descriptive statistics Analyze risk-return relationship Plot efficient frontier using optimization Estimate optimal portfolio structure
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PORTFOLIO MANAGEMENT Practice procedures using (hypothetical) stock returns 1) Download (or generate) time-series of five, say, stock returns 2) Calculate descriptive statistics such as std.dev., mean, var, corr matrices and etc 3) Build portfolio with fixed weights or time-varying weights 4) Estimate the optimal portfolio, conditional on given constraints, e.g., short-sales allow or ban, borrowing allow or ban, invest in both risky and riskfree asset or
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INSY%20434-001%20LAB%204%20Portfolio%20Investment%20Risk%20Management%20WINTER%202010

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