Risk and Portfolio Management with Econometrics,
Spring 2009

Homework assignments

Number Topic and link Due date
1 Mean variance analysis Jan. 28
2 Statistical parameter estimation Feb. 4
3 Maximum likelihood and fat tails Feb. 11
4 more on Maximum likelihood Feb. 18
5 SVD PCA Feb. 25
6 least squares regression and PCA
Also download the data file: yc.xls
March 11
7 Utility maximization April 8
8 Computational statistics
Also download the data file: assignment8.xls
April 22