Risk and Portfolio Management
Spring 2010
Arbitrage Pricing Theory:
Theory and Applications
To Financial Data Analysis
Basic investment equation
Et = equity in a trading account at time t (liquidation
Risk and Portfolio Management
Spring 2010
Exchange Traded Funds:
Gaining Exposure to Sectors
Exchange-traded funds
ETF: Investment vehicles similar to mutual funds but look like stocks
- traded on an
Risk and Portfolio Management
Spring 2010
Stochastic Processes & dynamics of
stock prices
Number of factors explaining 55% of the variance
versus VIX volatility index (2002-2008)
Number of explanatory
Risk and Portfolio Management with Econometrics, Courant Institute, Spring 2009
http:/www.math.nyu.edu/faculty/goodman/teaching/RPME09/index.html
Always check the class bboard on the blackboard site f
Risk and Portfolio Management with Econometrics, Courant Institute, Spring 2009
http:/www.math.nyu.edu/faculty/goodman/teaching/RPME09/index.html
Always check the class bboard on the blackboard site f
Risk and Portfolio Management with Econometrics, Courant Institute, Spring 2009
http:/www.math.nyu.edu/faculty/goodman/teaching/RPME09/index.html
Always check the class bboard on the blackboard site f
Risk and Portfolio Management with Econometrics, Courant Institute, Spring 2009
http:/www.math.nyu.edu/faculty/goodman/teaching/RPME09/index.html
Always check the class bboard on the blackboard site f
Risk and Portfolio Management with Econometrics, Courant Institute, Spring 2009
http:/www.math.nyu.edu/faculty/goodman/teaching/RPME09/index.html
Always check the class bboard on the blackboard site f
Risk and Portfolio Management with Econometrics, Courant Institute, Spring 2009
http:/www.math.nyu.edu/faculty/goodman/teaching/RPME09/index.html
Always check the class bboard on the blackboard site f
Risk and Portfolio Management with Econometrics, Courant Institute, Spring 2009
http:/www.math.nyu.edu/faculty/goodman/teaching/RPME09/index.html
Always check the class bboard on the blackboard site f
Risk and Portfolio Management with Econometrics, Courant Institute, Spring 2009
http:/www.math.nyu.edu/faculty/goodman/teaching/RPME09/index.html
Always check the class bboard on the blackboard site f
Risk and Portfolio Management
Spring 2010
Principal Components Analysis and
Factors explaining stock returns
Principal components analysis
for equity markets
- Define a universe, or collection of stoc