
Computer Finance and Financial Econometrics
Instructor: Eric Zivot
Textbook: Statistics and Data Analysis for Financial Engineering by David Ruppert
Download Slides from hereReturn Calculations
Probability Review
matrix Algebra
Time Series Concepts
Descriptive Statistics
Constant Expected Return Model
Bootstrapping in CER Model
Hypothesis Testing in CER Model
Maximum Likelihood Estimation
Introduction to Portfolio Theory
Portfolio Theory with Matrix Algebra
Single Index Model and Linear Regression
Rolling Analysis of Single Index Model
Capital Asset Pricing Model
- capm2.pdf. The capital asset pricing model and some simple tests.
- capmSlides.pdf. Revised December 3, 2004.
Measuring Portfolio Performance