| The set of modules provided here start
with an analysis of portfolio statistics (returns and volatility).
The Portfolio Returns and Efficient Portfolios takes users from
portfolio statistics to Markowitz diversification, the Capital Asset
Pricing Problem as well as the Single Index Model for building
mean-variance efficient portfolios. A powerful additional feature is that the module
permits both the dynamic behavior of risk and return to be analyzed
visually and extensive back testing analysis can be performed.
Students can either download their own historical price data directly
from the web or the instructor can provide a specific data set in the
form of an Excel spreadsheet. To
see online lessons using this module click on
Efficient Portfolios.
A
second module, the Factor Module, takes the user beyond Marokowitz/option modules to a
multi-factor approach to forming a portfolio. You can design and
test your own factors or automatically download factor data. For
example, this module lets users explore questions such as whether the
Fama and French factor data can improve either risk and or return
behavior (as examined from backtesting experiments). An
online lesson takes the user step by step through this type of
exercise using the Factor Module.
To see a comprehensive lesson built
around this module click on
Factor.
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