Week 1: Introduction to R Programming, R Fundamentals, Basic mathematical and logical operations with R, working with different data-types in R, wrangling with dataframes, Exploratory data analysis and data visualization with R.
Week 2: Introduction to Portfolio Construction : Risk-return framework in financial markets, risk diversification with portfolios, portfolio optimization in mean-variance framework, concept of market risk and beta, Portfolio Possibility curve, Efficient frontier, Minimum Variance portfolios, Introduction to risk-free lending and borrowing
Week 3: Asset Pricing Models: Capital Asset Pricing Model (CAPM), Capital Market Line, Security Market Line, Fallings of CAPM, Single-Index and Multi-Index models, Expected Risk and Return with Index models, 3-Factor Fama-French Model
Week 4: Portfolio Management and Performance Evaluation: Portfolio Management strategies, Active vs Passive Portfolio Management, Value vs Growth investing, One-parameter performance measures Timing & Selection performance measures, application of asset pricing models in performance management
Week 5: Introduction to Algorithmic Trading: Technical analysis and trend determination, Dow Theory, Moving averages, Momentum indicators, Classical price patterns.
Week 6: Advanced time-series regression algorithms: ARMA/ARIMA models, Mean reverting trading strategies with vector error correction models and cointegration, model risk management, back testing, model validation, and stress testing with R
Week 7: Advanced time-series algorithms for financial risk-management: Value-at-risk, Expected Shortfall, ARCH/GARCH models, implementation with R
Week 8: Advanced topics: Alternative versions of CAPM, Delineating Efficient Frontier, Performance Evaluation with Multi-index models, Portfolio construction, optimization, back-testing, and visualization with R
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