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Course Description
This course builds on the fundamental concepts from Introduction to Portfolio Analysis in R and explores advanced concepts in the portfolio optimization process. It is critical for an analyst or portfolio manager to understand all aspects of the portfolio optimization problem to make informed decisions. In this course, you will learn a quantitative approach to apply the principles of modern portfolio theory to specify a portfolio, define constraints and objectives, solve the problem, and analyze the results. This course will use the R package PortfolioAnalytics to solve portfolio optimization problems with complex constraints and objectives that mirror real world problems.
Prerequisites
Curriculum
Course outline
1
Introduction and Portfolio Theory
This chapter will give you a brief review of Modern Portfolio Theory and introduce you to the PortfolioAnalytics package by solving a couple portfolio optimization problems.
- Welcome to the course!50 XP
- Load the PortfolioAnalytics package100 XP
- Solve a simple portfolio optimization problem100 XP
- Visualize results100 XP
- Modern Portfolio Theory objective50 XP
- Defining risk50 XP
- Challenges of portfolio optimization50 XP
- Quadratic utility50 XP
- Maximize quadratic utility function100 XP
- Introduction to PortfolioAnalytics50 XP
- Key design goals50 XP
2
Portfolio Optimization Workflow
The focus of this chapter is a detailed overview of the recommended workflow for solving portfolio optimization problems with PortfolioAnalytics. You will learn how to create a portfolio specification, add constraints, objectives, run the optimization, and analyze the results of the optimization output.
3
Objective Functions and Moment Estimation
In this chapter, you will learn about estimating moments, characteristics of the distribution of asset returns, as well as custom objective functions.
4
Application
In the final chapter of the course, you will solve a portfolio optimization problem that mimics a real world real world example of constructing a portfolio of hedge fund strategy with different style definitions.
R
Intermediate Portfolio Analysis in R
Course
Complete
