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Bachelors

Quantitative Risk and Portfolio Management

California Institute of Technology (Caltech)
Pasadena , United States
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Details
Program Details
Degree
Bachelors
Major
Finance | Financial Planning | Risk Management
Area of study
Business and Administration
Course Language
English
About Program

Program Overview

University Program Information

Division of the Humanities and Social Sciences

The Division of the Humanities and Social Sciences offers various programs and courses.


Undergraduate Studies

Undergraduate studies include:


  • Options & Minors
    • Business, Economics, and Management
    • Economics
    • English
    • History
    • History and Philosophy of Science
    • Philosophy
    • Political Science
    • Visual Culture
  • Current Course Schedule
  • Course Descriptions
  • Course Policies
    • Avoiding Plagiarism
    • Use of Generative AI Policy
  • Beyond the Classroom
  • FAQs

Graduate Studies

Graduate studies include:


  • Social Sciences PhD Program
  • Social and Decision Neuroscience PhD Program
  • Graduate Courses
  • Current Course Schedule
  • Job Market Candidates
  • Graduate Programs Alumni
  • Course Policies
    • Avoiding Plagiarism
    • Use of Generative AI

Course Details

BEM 111: Quantitative Risk and Portfolio Management

  • 9 units (3-0-6)
  • Second term
  • Prerequisites: GE/ACM 118, BEM 105, or Ma 112
  • Description: Investors demand reward for taking risk. Concepts of Knightian risk and uncertainty; risk preference (risk-neutral Q vs. real-world P probability measures); coherent risk; and commonly used metrics for risk are explored. The integration of risk and reward in classical efficient portfolio construction is described, along with the drawbacks of this approach in practice and methods for addressing these drawbacks. The leptokurtic (fat-tailed) nature of financial data and approaches to modeling financial surprises are covered, leading to inherently leptokurtic techniques for estimating volatility and correlation. Scenario analysis, and regime-switching methods are shown to provide ways of dealing with risk in extreme environments. The special nature of modeling long/short portfolios (hedge funds) is explored. The text for the class is a Jupyter Notebook with Python code segments.
  • Instructor: Winston

Research Areas

Research areas include:


  • Humanities Research
  • Social Sciences Research
  • Postdoctoral Programs

News & Events

News and events include:


  • HSS Calendar
  • News
  • Seminars and Conferences
  • Honors and Awards
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