Lecture 14: Portfolio Theory
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Description
This lecture describes portfolio theory, including topics of Marowitz mean-variance optimization, von Neumann-Morganstern utility theory, portfolio optimization constraints, and risk measures.
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This is a guest lecture on quanto credit hedging, including using mathematical models in trading.
Published 06/22/15
This lecture is an introduction to counterparty credit risk, featuring credit valuation as well as the broad economic objectives of a financial institution. It also concludes the course.
Published 06/22/15
Published 06/22/15
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