Risk, Returns, and History

Objectives

  • Calculate returns and identify measures of risk.
  • Collect and analyze macroeconomic data and key financial ratios.

Reading

  • Chapter 5: Risk, Return, and History

Measuring Returns

Risk

  • Defining and Measuring Risk by Aswath Damodaran @ NYU
  • Value at Risk by Kenneth Abbott @ MIT in 2013
  • Quantifying Risk Lecture by John Geanakoplos @ Yale in 2009
    • 00:00 - Expectation, Variance, and Covariance
    • 19:06 - Diversification and Risk Exposure
    • 33:54 - Conditional Expectation
    • 53:39 - Uncertainty in Interest Rates

Diversification and Portfolio Calculations

  • Lecture by Andrew Lo @ MIT in 2008

Equity Premium and Risk

  • Lecture by John Cochrane @ UChicago

Optional Advanced Topics

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