概要

This eCourse consists of two modules on quantitative trading. Module 1 describes how financial trading businesses measure and manage risks while making decisions to generate a profit.

Module 2 looks at the key concepts and issues associated with constructing a portfolio of assets, particularly the crucial role of MPT and correlation among portfolio assets.

宗旨

On completion of this course, you will be able to:
- Define the concepts of risk and risk management
- Recognise the importance of defining what exactly a “risk number” is measuring
- Calculate risk using techniques such as value at risk (VaR) and expected shortfall (ES), and apply these measurement techniques to a multi-asset portfolio
- Identify some common uses of risk numbers and the issues/considerations associated with using such numbers for risk management purposes
- Recognise the importance of risk in portfolio construction
- Recall the development of modern portfolio theory (MPT)
- Recognise how the Sharpe ratio measures return per unit of risk taken
- List the key assumptions behind MPT
- Identify the main constraints in portfolio construction and how optimization can be used
- Recognize the challenges in portfolio construction and the cost of getting it wrong
- List other key issues and concepts associated with portfolio management

內容

Module 1: Quantitative Trading – Risk Management
Topic 1: Risk & Risk Management in Trading Businesses
Topic 2: Risk Numbers
Topic 3: Risk Calculations
Topic 4: Portfolio Risk
Topic 5: Using Risk Numbers

Module 2: Quantitative Trading – Portfolio Construction
Topic 1: Risk & Portfolio Construction
Topic 2: Modern Portfolio Theory (MPT)
Topic 3: Sharpe Ratio
Topic 4: MPT Assumptions
Topic 5: Portfolio Constraints
Topic 6: Portfolio Construction Challenges
Topic 7: Other Portfolio Management Concepts