Learn · Probability and Stochastics for Finance II
Lecture 6 of 20Week 2
Mean Variance Portfolio Optimization I
Prof. Joydeep Dutta · IIT Kanpur
Credits and licence
- From
- Probability and Stochastics for Finance II, IIT Kanpur (at NPTEL)
- Licence
- CC BY-NC-SA, as NPTEL states it. Non-commercial use only.
- Attribution
- NPTEL states: "Distributed under Creative Commons Attribution-ShareAlike / CC BY - NC - SA", beside a BY-NC-SA badge.
- Who can watch
- Teens profiles and older. How courses are placed
All the lectures
- Fundamentals of Interest Rates
- Fixed Income Securities
- Term Structure of Interest Rates- I
- Optimization Models In Finance
- Crash course on KKT Condition
- Mean Variance Portfolio Optimization I
- Mean Variance Portfolio Optimization II
- Mean Variance Portfolio Optimization III
- Mean Variance Portfolio Optimization IV
- Last lecture on Portfolio Optimization
- Capital Asset Pricing Model
- The Binomial Model [Lox-Ross-Rubenstein Model]
- The Binomial Method II
- Binomial Method III (Multiperiod model)
- Binomial model IV
- Girsanav's Theorem (Basic tool)
- Girsanav's Theorem (Statement and proof)
- Stock price under risk netral measure
- The Black -Scholes formula
- Final Lecture