What you’ll learn
Read or download asset classes benchmark indexes replicating funds data to perform advanced portfolio analysis operations by installing related packages and running script code on RStudio IDE.
Compare asset classes benchmark indexes replicating funds returns and risks tradeoffs for fixed income or bonds and equities or stocks.
Estimate asset classes expected returns through historical annualized returns and risks through historical returns annualized standard deviation.
Calculate portfolios Sharpe ratios performance metrics.
Estimate benchmark global portfolio returns from periodically rebalanced equal weighted assets allocation.
Optimize global portfolios asset allocation weights for mean maximization, standard deviation minimization, mean maximization and standard deviation minimization, mean maximization and value at risk minimization objectives within training range based on Markowitz portfolio theory.
Approximate global portfolios returns from periodically rebalanced optimized asset allocations within testing range and compare them with equal weighted benchmark portfolio.
Minimize portfolio assets allocation weights optimization back-testing overfitting or data snooping through multiple hypothesis testing adjustment.
Approximate two population mean statistical inference two tails tests multiple probability values.
Adjust two population mean multiple probability values through family-wise error rate or Bonferroni procedure and false discovery rate or Benjamini-Hochberg procedure.
Reduce portfolio assets allocation weights optimization back-testing overfitting or data snooping through individual time series bootstrap hypothesis testing multiple comparison adjustment.
Simulate two population mean probability distributions through random fixed block re-sampling with replacement.
Estimate two bootstrap population mean statistical inference percentile confidence interval and two tails tests percentile probability values.
Correct two individual bootstrap population mean probability values multiple comparisons through family-wise error rate adjustment.
Advanced Portfolio Analysis
Advanced Portfolio Analysis Data
Course Data File
Course Script Code File
Course Overview Slides
Portfolio Optimization Slides
Portfolio Optimization Overview
Returns and Risks
Portfolio Performance Metric
Mean Maximization Portfolio Optimization
Standard Deviation Minimization Portfolio Optimization
Markowitz Portfolio Optimization
Mean-VaR Portfolio Optimization
Portfolio Optimization Comparison
“Portfolio Multiple Hypothesis Testing
Portfolio Multiple Hypothesis Testing Slides
Portfolio Multiple Hypothesis Testing Overview
Multiple Hypothesis Testing
Portfolio Multiple Hypothesis Testing 1
Multiple Hypothesis Testing Adjustment
Portfolio Multiple Hypothesis Testing Adjustment 1
“Portfolio Time Series Bootstrap
Portfolio Time Series Bootstrap Slides
Portfolio Time Series Bootstrap Overview
Time Series Bootstrap Hypothesis Testing
Portfolio Time Series Bootstrap Hypothesis Testing 1
Time Series Bootstrap Hypothesis Testing Adjustment
Portfolio Time Series Bootstrap Hypothesis Testing Adjustment 1