Risk and Asset Allocation

part of the FM 5031/2 financial mathematics practitioner sequence

Instructor

John Dodson
jdodson@math.umn.edu

Resources

syllabus updated 12 Sep
dropbox (NetFiles)
fall / spring grades (Moodle2)
classroom (UMConnect)
Meucci code (MATLAB Central)
Meucci text (SYMMYS)
SeDuMi package (CVX Research)

Texts

Required (Fall & Spring)
Risk and Asset Allocation, Attilio Meucci (Springer)
Recommended
Quantitative Risk Management, Alexander McNeil, Rüdiger Frey, & Paul Embrechts (Princeton)
Monte Carlo Methods in Financial Engineering, Paul Glasserman
Probability and Statistics, 3rd ed., Morris DeGroot & Mark Schervish

Files

Lectures

Fall Term
Wed 3 Sep review slides exercise
Wed 10 Sep slides case exercise lecture
Wed 17 Sep slides exercise office hours
Wed 24 Sep slides exercise office hours
Wed 1 Oct reading notes exercise office hours
Wed 8 Oct slides case assignment lecture office hours
Spring Term
Web 21 Jan slides case exercise
Wed 28 Jan slides case exercise office hours
Wed 4 Feb slides case exercise office hours
Wed 11 Feb slides case exercise office hours
Wed 18 Feb slides case exercise office hours
Wed 25 Feb slides case office hours project

Notes


Last Modified Tuesday September 16, 2014
The views and opinions expressed in this page are strictly those of the page author. The contents of this page have not been reviewed or approved by the University of Minnesota.