Fall 2012: syllabus

Notes:

1. Set 1, Set 2, Set 3, Set 4, Set 5 - portfolio choice

Homework sets: homework 1, homework 2, homework 3, homework 4, homework 5

Additional exercises for the final exam: exercises

IMPORTANT ANNOUNCEMENTS:

1. 1.There will be an extra class meeting on October 10 from 5:00 PM - 5:50 PM at HLMS 185.
   

2. 2.Office hour next week will be on Tuesday from 2:00 PM - 5:00 PM.
   

3. 3.There will be an extra class meeting on October 31 from 5:00 PM - 5:50 PM at HLMS 185.
   

4. 4.There will be an extra class meeting on December 5 from 5:00 PM - 5:50 PM at HLMS 185.
   

Data sets: wheatcbot09042012.txt, capm.txt, strips95.txt, sandp.mat, aapl.mat, capm.txt

Matlab codes:

1. 1.returns.m (page 1 of lecture notes)
   

2. 2.wheatret_1.m (pages 2 and 12 of lecture notes)
   

3. 3.binomial.m, normgen.m, lognormgen.m, student.m (pages 8-11 of lecture notes)
   

4. 4.random_walk_s_and_p_st.m performs a Kolmogorov-Smirnoff Test and k_s_cdf.m plots a Kolmogorov-Smirnoff CDF.
   

5. 5.random_walk.m plots geometric random walks.
   

6. 6.ar_1_sandp.m fits the S&P500 to AR(1) model.
   

7. 7.ar_3_sandp.m fits the S&P500 to an AR(3) model.
   

8. 8.ma_1_sandp.m fits the S&P500 to an MA(1) model.
   

9. 9.port.m is a code for portfolio allocation with no inequality constraints (w_i>=0). portine.m includes inequality constraints in a quadratic programming problem.
   

10. 10. capm_port.m considers estimation and optimal portfolio constrauction under a CAPM model.
    

11. 11. capm_beta_var.m considers the estimation of the beta of an asset that changes as a linear function of time.