Rutgers University 3 credits Statistics - Financial Statistics and Risk Management
Utility theory, the capital asset pricing model, mean-variance optimization, Ross’ arbitrage pricing theory, covariance matrix estimation, principal component analysis and factor models, multi-factor models, volatility forecasting, risk measures, value at risk and credit value at risk, portfolio optimization, the Moore-Penrose pseudoinverse, Black-Litterman optimization and applications to asset allocation problems, risk parity portfolios, portfolio optimization with transaction costs, microstructure theory, convex optimization with constraints, execution algorithms, simulation strategies and back-testing, look-ahead bias and overfitting, robustness, state space models, linear time series models, volatility models, design and implementation of algorithm trading. Prerequisites: 16:958:590, 16:958:563
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