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STATS 237: Investment Portfolios, Derivative Securities, and Risk Measures

Asset returns and their volatilities. Markowitz portfolio theory, capital asset pricing model, multifactor pricing models. Measures of market risk and statistical models and methods for their estimation and backtesting. Financial derivatives and hedging. Black-Scholes pricing of European options and implied volatilities. Prerequisite: STATS 116 or equivalent.
Terms: Sum | Units: 3

STATS 237P: Investment Portfolios, Derivative Securities, and Risk Measures

For SCPD students; see STATS237
Terms: Sum | Units: 3
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