Learn · Mathematical Portfolio Theory

Lecture 32 of 39Module 11: Risk Management

Lecture 32:Â Value-at-Risk and its properties

Prof. Siddhartha Pratim Chakrabarty · IIT Guwahati

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Mathematical Portfolio Theory, IIT Guwahati (at NPTEL)
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All the lectures

  1. Lecture 1: Probability space and their properties, Random variables Video
  2. Lecture 2: Mean, variance, covariance and their properties Video
  3. Lecture 3:Â Linear regression; Binomial and normal distribution; Central Limit Theorem Video
  4. Lecture 4 :Â Financial markets Video
  5. Lecture 5 :Â Bonds and stocks Video
  6. Lecture 6 : Binomial and geometric Brownian motion (gBm) asset pricing models Video
  7. Lecture 7 :Â Expected return, risk and covariance of returns Video
  8. Lecture 8 : Expected return and risk of a portfolio; Minimum variance portfolio Video
  9. Lecture 9 : Multi-asset portfolio and Efficient frontier Video
  10. Lecture 10 : Capital Market Line and Derivation of efficient frontier Video
  11. Lecture 11 : Capital Asset Pricing Model and Single index model Video
  12. Lecture 12 : Portfolio performance analysis Video
  13. Lecture 13 : Utility functions and expected utility Video
  14. Lecture 14 :Â Risk preferences of investors Video
  15. Lecture 15 : Absolute Risk Aversion and Relative Risk Aversion Video
  16. Lecture 16 :Â Portfolio theory with utility functions Video
  17. Lecture 17 : Geometric Mean Return and Roy's Safety-First Criterion Video
  18. Lecture 18 :Â Kataoka's Safety-First Criterion and Telser's Safety-First Criterion Video
  19. Lecture 19 : Semi-variance framework Video
  20. Lecture 20 : Stochastic dominance; First order stochastic dominance Video
  21. Lecture 21 : Second order stochastic dominance and Third order stochastic dominance Video
  22. Lecture 22 : Discrete time model and utility function Video
  23. Lecture 23 : Optimal portfolio for single-period discrete time model Video
  24. Lecture 24 : Optimal portfolio for multi-period discrete time model; Discrete Dynamic Programming Video
  25. Lecture 25 : Continuous time model; Hamilton-Jacobi-Bellman PDE Video
  26. Lecture 26 : Hamilton-Jacobi-Bellman PDE; Duality/Martingale Approach Video
  27. Lecture 27 : Duality/Martingale Approach in Discrete and Continuous Time Video
  28. Lecture 28 : Interest rates and bonds; Duration Video
  29. Lecture 29 : Duration; Immunization Video
  30. Lecture 30 : Convexity; Hedging and Immunization Video
  31. Lecture 31: Quantiles and their properties Video
  32. Lecture 32:Â Value-at-Risk and its properties Video
  33. Lecture 33: Average Value-at-Risk and its properties Video
  34. Lecture 34: Asset allocation Video
  35. Lecture 35: Portfolio optimization Video
  36. Lecture 36: Portfolio optimization with constraints, Value-at-Risk: Estimation and backtesting Video
  37. Live Session 07-10-2020 Video
  38. Live Session 10-11-2020 Video
  39. Live Session 01-12-2020 Video