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 value)
Rit = return on stock i from time t to time t +
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 exchange
- trading is similar to stocks (long, short, m
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 factors vs. first eigenvalue
of correlation matrix
Num
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 from home.nyu.edu (click on academics, then
on the cours
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 from home.nyu.edu (click on academics, then
on the cours
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 from home.nyu.edu (click on academics, then
on the cours
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 from home.nyu.edu (click on academics, then
on the cours
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 from home.nyu.edu (click on academics, then
on the cours
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 from home.nyu.edu (click on academics, then
on the cours
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 from home.nyu.edu (click on academics, then
on the cours
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 from home.nyu.edu (click on academics, then
on the cours
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 stocks corresponding to the
market of interest (e.g. US Equ