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Course Description

Portfolio allocation is a continuous challenge: Investors must find the right balance between seeking higher returns and managing increased risk. How can you use quantitative modeling to help optimize your portfolio?

In this course, you will delve into data-driven and model-based approaches to portfolio allocation using the Julia programming language. You will discover various methods to estimate the required components of the allocation problem from data or by using simple models. You will then determine how to evaluate portfolio performance and examine the role of diversification in portfolio performance. Finally, you will explore utility maximization, risk aversion, and behavioral finance to help you better understand portfolio allocation choices. By the end of the course, you will be able to develop optimized portfolios that consist of combinations of both more risky assets and risk-free ones to balance risk and reward.

You are required to have completed the following courses or have equivalent experience before taking this course:

  • Quantitative Modeling of Fixed Income Debt Securities
  • Equity Asset Pricing Using Stochastic Models
  • Analysis of Equity Derivatives at Expiration
  • Analysis of Equity Derivatives Before Expiration

Faculty Author

Jeffrey D. Varner

Benefits to the Learner

  • Construct low- and high-correlation portfolios of risky assets
  • Compute the optimum risk-reward trade-off surface for a collection of risky and risk-free assets
  • Evaluate the performance of single index models
  • Use single index models and minimum variance portfolio allocation

Target Audience

  • Quantitative analysts
  • Finance professionals looking to upskill in data modeling
  • Engineers looking to transition into finance
  • Research scientists
  • Computer scientists
  • Personal investors

Applies Towards the Following Certificates

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Enroll Now - Select a section to enroll in
Type
2 week
Dates
Aug 13, 2025 to Aug 26, 2025
Total Number of Hours
16.0
Course Fee(s)
Regular Price $999.00
Type
2 week
Dates
Oct 08, 2025 to Oct 21, 2025
Total Number of Hours
16.0
Course Fee(s)
Regular Price $999.00
Type
2 week
Dates
Oct 08, 2025 to Oct 21, 2025
Total Number of Hours
16.0
Course Fee(s)
Regular Price $999.00
Type
2 week
Dates
Dec 03, 2025 to Dec 16, 2025
Total Number of Hours
16.0
Course Fee(s)
Regular Price $999.00
Type
2 week
Dates
Jan 28, 2026 to Feb 10, 2026
Total Number of Hours
16.0
Course Fee(s)
Regular Price $999.00
Type
2 week
Dates
Mar 25, 2026 to Apr 07, 2026
Total Number of Hours
16.0
Course Fee(s)
Regular Price $999.00
Type
2 week
Dates
May 20, 2026 to Jun 02, 2026
Total Number of Hours
16.0
Course Fee(s)
Regular Price $999.00
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