Zurich, Feb 2013 - Spring Lecture

Diethelm Würtz offers a Spring Lecture "From Time Series Analysis to Modern Portfolio Design".

The lecture starts on 21 February and will take place at ETH Zurich Main Building (Room HG D3.3) on Thursday evenings, 17:00 - 20:30, (Dates: 21.02, 28.02, 07.03, 14.03, 21.03, 11.04, 18.04, 25.04, 02. 05, 16.05, 23.05, 30.05).

More details can be found in the Syllabus.

The lecture is intented for ETH Students. If you want to follow the lecture as an external, you have to apply as a guest auditor at the ETH Rectorate.


February 21:
Kick-off Meeting: Overview and Introduction
Basic R Course Part I 

February 28:
Stylized Facts of Financial Returns
Basic R Course Part II 

March 7:
Financial Returns and their Characteristics
Case Study: Parameter Estimation of Financial Return Distributions 

March 14:
Analysis of Extreme Values in Financial Time Series
Case Study: Value at Risk and Shortfall Risk Estimation

March 21:
Financial Time Series and Volatility Modeling
Case Study: GARCH(1,1) Parameter Estimation and Forecasting

April 11/18:
Mean-Variance Markowitz Portfolio Optimization
Case Study: Critical Line Algorithm

April 25 / May 2:
Scenario Optimization and Nonlinear Risk Measures
Case Study: Mean-MAD Portfolio Optimization

May 16/23:
Performance Risk Analysis and Portfolio Benchmarking
Case Study: Portfolio Risk Surfaces and Diversification Optimization

May 30:
Stability Analytics