Explores Portfolio Theory with a focus on the Risk Parity Strategy, discussing asset allocation proportional to the inverse of volatility and comparing different diversified portfolios.
Covers the Capital Asset Pricing Model, estimating betas, empirical evidence on returns versus beta, short-sale constraints, and optimal portfolio choice.
Explores coherent risk measures and the spectral approach to risk aversion, covering VaR, ES, subadditivity, convexity, and the creation of new risk measures.
Covers the fundamentals of financial risk management, including types of risk, historical developments, regulatory events, and the challenges in quantitative risk management.
